Marginal amp Conditional for the Multivariate Normal Full Derivation

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http://youtube.com/watch?v=H9ETCyDx80g

If we subdivide the random vector of a Multivariate Normal/Gaussian, what are the marginal of the subvectors? And how is the conditional between the two? Here are the notes: https://raw.githubusercontent.com/Cey... • The Multivariate Normal allows for many analytical computations that are infeasible with other (joint) distributions. • ------- • 📝 : Check out the GitHub Repository of the channel, where I upload all the handwritten notes and source-code files (contributions are very welcome): https://github.com/Ceyron/machine-lea... • 📢 : Follow me on LinkedIn or Twitter for updates on the channel and other cool Machine Learning Simulation stuff: / felix-koehler and / felix_m_koehler • 💸 : If you want to support my work on the channel, you can become a Patreon here: / mlsim • ------- • Timestamps: • 00:00 Introduction • 01:25 What partitioning means for the parameters • 02:39 Marginal • 04:06 Marginal: Visualization for Bivariate Normal • 08:26 Conditional: Bayes' Theorem • 09:43 Conditional: Idea for Derivation • 10:02 Conditional: Recap Multivariate Normal • 10:47 Conditional: Precision Matrix • 11:45 Conditional: Inserting Subdivision • 19:46 Conditional: Ignoring terms • 22:32 Conditional: Completing the Square • 27:43 Conditional: Discussion on mu • 28:08 Conditional: Preliminary Solution • 20:33 Conditional: Schur Complement • 37:28 Summary • 40:19 Outro

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