Kalman Filter 3/4: Multivariate Gaussian distribution
This video is the third part of the Kalman Filter course. It covers an important topic related to the Kalman Filter: multivariate Gaussian distribution.
00:00 Introduction
00:18 Introduction to multi-dimensional random variables
01:26 Correlation concept
03:30 Mean vector and Covariance Matrix
06:25 Linear transformations of multivariate Gaussian distributions
07:22 Matlab script
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