Tag Info

Hot answers tagged


You can use the either, as both necessarily are symmetric positive definite; covariance is a personal preference. It's really just a matter of scaling, as $\mathcal{N}(0,\Sigma)$ is distributionally $\sqrt{\Sigma} \mathcal{N}(0,1) $. Correlation would require additional scaling (i.e. multiplication of every $\mathcal{N}(0,\rho)$ element by its respective ...

Only top voted, non community-wiki answers of a minimum length are eligible