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Results tagged with normal-distribution
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user 70569
The normal, or Gaussian, distribution has a density function that is a symmetrical bell-shaped curve. It is one of the most important distributions in statistics. Use the [normality-assumption] tag for asking about testing for normality.
3
votes
0
answers
602
views
Rate of covariance matrix estimation in Frobenius norm for Gaussian distributions
Given i.i.d. observations from an unknown $d$-dimensional Gaussian distribution $\mathcal{N}(\mu,\Sigma)$, it is "well-known" that $n=\Omega(d^2/\varepsilon^2)$ are necessary to produce an estimate $\ …
- 263
5
votes
Accepted
Does the normal product distribution have subgaussian tail?
Consider the case of the product of two independent standard Gaussian r.v's $X,Y$: $Z=XY$. Then, one can easily compute the MGF of $Z$:
$$
\forall |\theta|<1,\qquad \mathbb{E}[e^{\theta Z}]
= \mathbb{ …
- 263