Multivariate Normal distribution and Cholesky decomposition in Stan

Figure 1: Simulated data in a Multivariate Normal distribution

This post provides an example of simulating data in a Multivariate Normal distribution with given parameters, and estimating the parameters based on the simulated data via Cholesky decomposition in stan. Multivariate Normal distribution is a commonly used distribution in various regression models and machine learning tasks. It generalizes the Normal distribution into…

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Jake Jing

Jake Jing

Programming, Data analysis & Deep learning!

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