Articles

Affichage des articles du mars, 2025

Likelihood of bivariate Gaussian distribution

Let X, one observation composed of two values (x1, x2) obtained from Gaussian distributions µ1, s1 and µ2, s2 with rho being a correlation coefficient between Gaussian distributions 1 and 2, the likelihood is: library(mvtnorm) dmvnorm(x=c(x1,x2), mean=c(µ1,µ2), sigma=matrix(c(s1, rho, rho, s2), ncol=2))