I am building a Multivariate (in my case 3-dimensional) Gaussian Distribution from a set of 3-dimensional data. I want to update my model with new incoming data. Updating the means of all the 3 dimensions is straightforward. Updating the covariance matrix, however, is not. My question is, is there a mathematical set of equations for updating the covariance matrix.
2025-01-13 02:31:08.1736735468
Covariance Matrix Update
83 Views Asked by thatguyoverthere https://math.techqa.club/user/thatguyoverthere/detail AtRelated Questions in NORMAL-DISTRIBUTION
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