Re: singular covariance matrix Gaussian pdf question

On Jan 30, 1:17 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

Go back to that thread and find the sentence

Now replace inv(C) with C# and det(C) with the product s1*s2*...sr.


Hope this helps.

Greg

.

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