【白板推导系列笔记】数学基础-概率-高斯分布-从概率密度角度观察&局限性

X ∼ N ( μ , Σ ) = 1 ( 2 π ) p 2 ∣ Σ ∣ 1 2 ⋅ exp ( − 1 2 ( x − μ ) T Σ − 1 ( x − μ ) ⏟ 二次型 ) x ∈ R p , r . v . x = ( x 1 x 2 ⋮ x p ) , μ = ( μ 1 μ 2 ⋮ μ p ) , Σ = ( σ 11 σ 12 ⋯ σ 1 p σ 21 σ 22 ⋯ σ 2 p ⋮ ⋮ ⋮ σ p 1 σ p 2 ⋯ σ p p ) p × p \begin{gathered} X \sim N(\mu,\Sigma )=\frac{1}{(2\pi)^{\frac{p}{2}}|\Sigma |^{\frac{1}{2}}}\cdot \text{exp}\left(- \frac{1}{2}\underbrace{(x-\mu)^{T}\Sigma ^{-1}(x-\mu)}_{二次型}\right)\\ x \in \mathbb{R}^{p},r.v.\\ x=\begin{pmatrix} x_{1} \\ x_{2} \\ \vdots \\ x_{p} \end{pmatrix},\mu=\begin{pmatrix} \mu_{1} \\ \mu_{2} \\ \vdots \\ \mu_{p} \end{pmatrix},\Sigma =\begin{pmatrix} \sigma_{11} & \sigma_{12} & \cdots & \sigma_{1p} \\ \sigma_{21} & \sigma_{22} & \cdots & \sigma_{2p} \\ \vdots & \vdots & & \vdots \\ \sigma_{p1} & \sigma_{p2} & \cdots & \sigma_{pp} \end{pmatrix}_{p \times p} \end{gathered} X∼N(μ,Σ)=(2π)2p​∣Σ∣21​1​⋅exp⎝ ⎛​−21​二次型 (x−μ)TΣ−1(x−μ)​​⎠ ⎞​x∈Rp,r.v.x=⎝ ⎛​x1​x2​⋮xp​​⎠ ⎞​,μ=⎝ ⎛​μ1​μ2​⋮μp​​