Jeff wants you to prove this short preliminary result, due on Thursday, 3/26:

For a -dimensional parameter , if its density

,

where is a matrix and a vector, then

This is a commonly used technique called “completing the square,” in its general matrix form. It is often needed when working with the kernel of normal distributions (as we did later in the lecture today).

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March 25, 2009 at 8:03 pm |

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