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In this chapter we use linear algebra and characteristic functions to analyze the multivariate normal random variables. More information and other approaches can be found, eg. in [113, 120, 145]. In Section 2.5 we give criteria for normality which will be used often in proofs in subsequent chapters.
KeywordsCharacteristic Function Reproduce Kernel Hilbert Space Normal Random Variable Multivariate Normal Distribution HERMITE Expansion
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