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Multivariate distribution for products of random variables
Suppose I have an $n$-dimensional complex, zero mean normal distribution with covariance matrix $\Sigma$, which is not diagonal. Denoting each of the random variables as $x_1, \dots ,x_n$ I would ...
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Squared norm of linear system proportional to Multivariate Gaussian log-density?
I am reading https://epubs.siam.org/doi/10.1137/140964023, and I got confused by this part:
In the above, it is assumed that $m \geq n$.
If $m = n$, I can see how the above works.
$|| J \theta - y||^...
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