Tag Archives: statistics

Notes on the t-distribution

Posted on April 26, 2017 by mg50

Let $X_1, X_2, \ldots, X_n$ be IID normal variables with mean $\mu$ and variance $\sigma^2$. Let $\overline{X}$ be the mean of these variables, and define the deviations $D_i = \overline{X} – X_i$. Let $Y = [X_1 \ X_2 \ \ldots … Continue reading →

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Mahalanobis Distance

Posted on February 23, 2016 by mg50

Let $\mathbf x$ be a vector, and assume we have a distribution with mean $\mathbf \mu$ and covariance matrix $S$. The Mahalanobis distance with respect to the distribution is defined as $$D(\mathbf x) = \sqrt{(\mathbf x – \mathbf \mu)^TS^{-1}(\mathbf x … Continue reading →

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