Sampling the Multivariate Normal distribution | example in Python
The Multivariate Normal/Multivariate Gaussian is the most common description of random vectors in high-dimensional spaces. How can we sample it? Here are the notes https://raw.githubusercontent.com/Cey...
We know that we can sample the univariate Normal/Gaussian distribution by the Box-Mueller transform (among other algorithms). This concept can now be used to easily sample a multivariate version of the distribution.
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Timestamps:
00:00 Introduction
00:33 Problem Description
01:04 Idea of Affine Transformation
01:41 Sampling Standard Multivariate Normal
03:37 Affine Trafo to arbitrary parameters
05:11 Python: Creating one standard sample
06:30 Python: Creating multiple standard samples
07:09 Python: Transformation to arbitrary parameters
09:50 Python: Double-Check the samples
10:20 Outro
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