Skip to main content
edited tags
Link
kjetil b halvorsen
  • 82.8k
  • 32
  • 201
  • 663
Tweeted twitter.com/StackStats/status/1138868644027539457
Source Link

Reconstruction from statistics

imagine to have data like the following

$\begin{matrix}X1 & X2 & X3 \\\ 1 & 2 & 3\\\ 4 & 5 & 6\\\ 7 & 8 & 9\\\ \dots\end{matrix}$

where each row is a multivariate Gaussian (0, $\Sigma$).

Having the first order statistics for each column (mean, variance, median, min, max) + the covariance matrix, is it possible to get the third column knowing the other ones?