Re: singular covariance matrix Gaussian pdf question
On Jan 30, 12:17 pm, "zl2k" <kdsfin...@xxxxxxxxx> wrote:
hi, all
I searched the group and found some message dealing with the singular
covariance matrix problem. One of which is using pseudo inverse based
on svd to generate pseudo inversed covariance matrix for the singular
matrix. My question, in order to calculate the Gaussian pdf, how
should I deal with the determinant of the singular matrix which is 0
and will give inf in gaussian pdf? Thanks for comments.
zl2k
It's the product of the non-zero singular values. Ray gave a good
geometric explanation of why this works. It's the determinant of the
full support basis vectors of the covariance matrix.
.
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