covariance and correlation:
for two univariate X and Y, the covariance is defined as:
if X and Y are independent, then covariance is zero and correlation is also zero; but the converse is not true: uncorrelated does NOT imply independent.
Multi-variate Gaussian(MVN):
Multi-variate Student t distribution:
Dirichlet distribution:
transformation of random variables:
questions:
Information Theory:
entropy: