niplav: "Recipes from the Matrix Cookbook, part 1/?" - Mastodon

niplav @niplav@schelling.pt

Recipes from the Matrix Cookbook, part 1/?

Assume $x~N(m_x, Σ_x)$ and $y~N(m_x, Σ_x)$, then

$$Ax+By+c~N(Am_x+Bm_y+c, AΣ_xA^T+BΣ_yB^T)$$

January 26, 2023 at 1:04 PM · · · ·

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