Ginsby — Les-mathematiques.net

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Réponses

Matou,

Il faut effectivement que $\Sigma$ soit semi-définie positive pour \^etre admissible comme matrice de covariance. On peut alors la diagonaliser dans une b.o.n. (on note ici P la matrice des VP normés, ordonnés comme on le souhaite…

dans Simulation - loi multinormale Commentaire de Ginsby October 2007

Bonjour!

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