Definition: Precision matrix
Index:
The Book of Statistical Proofs ▷
General Theorems ▷
Probability theory ▷
Covariance ▷
Precision matrix
Sources:
Metadata: ID: D74 | shortcut: precmat | author: JoramSoch | date: 2020-06-06, 05:08.
Definition: Let $X = [X_1, \ldots, X_n]^\mathrm{T}$ be a random vector. Then, the precision matrix of $X$ is defined as the inverse of the covariance matrix of $X$:
\[\label{eq:corrmat} \Lambda_{XX} = \Sigma_{XX}^{-1} = \begin{bmatrix} \mathrm{Cov}(X_1,X_1) & \ldots & \mathrm{Cov}(X_1,X_n) \\ \vdots & \ddots & \vdots \\ \mathrm{Cov}(X_n,X_1) & \ldots & \mathrm{Cov}(X_n,X_n) \end{bmatrix}^{-1} \; .\]- Wikipedia (2020): "Precision (statistics)"; in: Wikipedia, the free encyclopedia, retrieved on 2020-06-06; URL: https://en.wikipedia.org/wiki/Precision_(statistics).
Metadata: ID: D74 | shortcut: precmat | author: JoramSoch | date: 2020-06-06, 05:08.