阿正的梦工坊

In MCMC methods, we design a Markov chain with a transition matrix whose stationary distribution is the target distribution we wish to sample from

The Calculus of Variations is a powerful mathematical tool used to solve extremum problems, particularly when the objective function is in the form of an integral. By solving the Euler-Lagrange equation, we can find the optimal solution

It is not a probability distribution in the traditional sense because it is not defined in a standard probability space but in the framework of generalized functions or measures.

R is the row echelon form (REF, 行阶梯矩阵) of matrix A, containing the basis information for the row space.

The process of transforming positions between different coordinate systems is known as Change of Coordinates

we will explore the computational complexities of basic matrix operations such as matrix addition, scalar multiplication, matrix transposition, and matrix-vector multiplication

By analyzing the structure and elements of A, we can understand how input components x influence output components y

Expansion in a basis is a fundamental concept in linear algebra that allows any vector to be expressed uniquely in terms of a given set of basis vectors.

The Vandermonde matrix is a structured matrix widely used in polynomial interpolation, evaluation, and linear algebra problems. Named after the French mathematician Alexandre-Théophile Vandermonde.

The Difference Matrix simplifies extracting incremental changes, while the Running Sum Matrix efficiently computes cumulative values.

The column perspective, which highlights the linear combination of matrix columns.

The asset return matrix is a powerful tool in quantitative finance, providing a structured way to represent and analyze asset returns.

The concept of basis is widely applicable in finance. Its essence lies in using linear algebra tools to transform complex cash flow problems into simple linear combination problems.

we can see that the standard deviation of the sum depends not only on the individual standard deviations of a and b, but also on their correlation rho

The correlation coefficient is a powerful tool for measuring the linear relationship between two variables. It is widely used in data analysis, finance, machine learning, and many other fields.

The gradient is a vector describing the rate of change of a scalar function, while the Jacobian matrix is a matrix describing the rate of change of a vector function.

we can approximate it near a specific point z using its first-order Taylor approximation

Linear and affine functions form the backbone of many mathematical models, providing elegant and concise ways to represent transformations.

Selector matrices are powerful tools for data selection and transformation. Their applications include cropping images, reordering data, and down-sampling signals, among others.

Selector Matrices provide a powerful and efficient way to manipulate data by selecting, reversing, or slicing elements without explicitly copying them.

By multiplying matrices with vectors, we can perform a variety of geometric transformations.

This example demonstrates how to infer the covariance matrix of a Gaussian distribution in a Bayesian framework, highlighting the role of the Wishart distribution as a conjugate prior.

This article demonstrated the Bayesian inference process for the mean vector of a multivariate Gaussian distribution and highlighted the importance of conjugate priors.

The conjugate relationship between the Dirichlet distribution and multinomial distribution provides a simple and efficient Bayesian inference framework for modeling categorical probabilities.

In Bayesian statistics, the Beta distribution and Binomial distribution form one of the most classic conjugate prior-posterior pairs.

A conjugate distribution is a type of prior distribution that, when combined with a specific likelihood function, results in a posterior distribution that has the same form as the prior.

The Bayesian approach provides a flexible and systematic way to incorporate prior knowledge and beliefs, which can be incredibly useful when data is scarce or uncertain.

This article introduces the background, properties, and real-world applications of exponential family distributions, illustrated through examples such as univariate and multivariate Gaussian distributions, Dirichlet distribution, and Wishart distribution.

In exponential family distributions, due to the linear relationship between the log-likelihood function and the sufficient statistic, Maximum Likelihood Estimation (MLE) often has a closed-form solution.

Thanks to the closed-form expression of the kernel matrix, the gradient of the objective function in the dual form of SVM can be computed efficiently. This avoids the need for complicated numerical optimization procedures

Closed-form solutions play a vital role in simplifying and solving problems in mathematics, statistics, and machine learning. They provide precise results with minimal computational cost, making them indispensable for problems where they are applicable.

A sufficient statistic is a function of a dataset that captures all the information about a parameter of interest contained within the data.

In statistics, the Exponential Family of Distributions is a widely used and mathematically convenient class of distributions that includes many common ones, such as the normal, binomial, and Poisson distributions.

t分布最初由英国统计学家戈塞特（William Sealy Gosset）提出，目的是为了解决小样本情况下的统计推断问题。它的长尾特性允许分布对离群点更加鲁棒，成为了处理小样本数据、异常值和不确定性问题的重要工具。

A Detailed Guide to the Gaussian-Wishart Distribution: Background, Application, and Mathematical Formulation

Gaussian-Gamma Distribution: Bayesian Inference with Unknown Mean and Variance

协方差矩阵的值：决定了马氏距离的尺度和方向敏感性。分布形状的建模：通过调整协方差矩阵，可以控制分布的拉伸和旋转，以更精确地拟合数据。

狄利克雷分布是多项分布参数的先验分布，在贝叶斯统计和机器学习中扮演着重要角色

伽马分布是一个通用的分布，广泛用于描述随机变量的总和；卡方分布是伽马分布的特例，专注于正态变量平方和的情形；

伽马分布描述的是一维随机变量的分布，而威沙特分布则描述协方差矩阵的分布。它们的联系可以看作是一种从标量到矩阵的推广过程。