Random Vectors and the Variance-Covariance Matrix.pdf
多维变量概率论
Definition 1. 随机向量 x = ( x 1 , x 2 , . . . , x p ) T \mathbf x = (x_1,x_2,...,x_p)^T x=(x1,x2,...,xp)T . 为了方便起见，将其定义为列向量或者将列矩阵 n × 1 n\times 1 n×1.
Expectation
Definition 2. The expectation E x E\mathbf x Ex of a random vector x = [ x 1 , x 2 , . . . , x p ] T \mathbf x = [x_1, x_2,...,x_p]^T x=[x1,x2,...,xp]T is given by
E x = [ E x 1 E x 2 . . . E x p ] . E\mathbf x = \begin{bmatrix} Ex_1 \\ Ex_2 \\ ...\\ Ex_p \end{bmatrix}. Ex=⎣⎢⎢⎡Ex1Ex2...Exp⎦⎥⎥
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