A Short Note on a Multi-Gaussian Model for Multivariate Estimation and Simulation
| dc.contributor.author | Riquelme, Alvaro I. | |
| dc.contributor.author | Ortiz, Julian M. | |
| dc.date.accessioned | 2020-10-29T21:26:35Z | |
| dc.date.available | 2020-10-29T21:26:35Z | |
| dc.date.issued | 2020 | |
| dc.description.abstract | We show that multivariate non-linear features can be reconstructed in a simple and straightforward way by mapping the original p-variate cumulative distribution function with a p-variate Gaussian distribution, equipped with a proper prior covariance matrix. We present theoretical development that allows a proper fitting of such covariance matrix, allowing to continue with the decorrelation of variables by the use principal components analysis. | en |
| dc.identifier.citation | Riquelme, A., Ortiz JM (2020) A Short Note on a Multi-Gaussian Model for Multivariate Estimation and Simulation, paper 2020-03. Preprint. | en |
| dc.identifier.uri | http://hdl.handle.net/1974/28551 | |
| dc.language.iso | en | en |
| dc.publisher | Queen's University | en |
| dc.relation | Queen's University Research Initiation Grant | en |
| dc.relation | Mitacs Accelerate | en |
| dc.rights.uri | https://creativecommons.org/licenses/by/4.0/ | |
| dc.title | A Short Note on a Multi-Gaussian Model for Multivariate Estimation and Simulation | en |
| dc.type | preprint | en |
| oaire.awardNumber | RGPIN-2017-04200 | en |
| oaire.awardNumber | RGPAS-2017-507956 | en |
| oaire.awardNumber | FR37072-IT14668 | en |
| project.funder.identifier | http://dx.doi.org/10.13039/501100003321 | en |
| project.funder.identifier | http://dx.doi.org//10.13039/501100000038 | en |
| project.funder.identifier | http://dx.doi.org/10.13039/501100004489 | en |
| project.funder.name | Queen's University | en |
| project.funder.name | NSERC | en |
| project.funder.name | Mitacs | en |
| project.funder.name | SRK Consulting Canada | en |