Other Related Properties
In Chapter 3 we have studied the fundamental properties and related distribution theory of the multivariate normal distribution using the specific functional form of its density function. Most of the results given there have been obtained by direct algebraic calculations. In this chapter we study some related properties with a more general approach. We show that the multivariate normal density function belongs to certain large classes of density functions. Consequently, it has all the common properties possessed by density functions in those classes. This approach allows us to apply more general and powerful mathematical tools for deriving useful results.
KeywordsCovariance Convolution Peaked
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