The Sampling Distribution of the Total Correlation for Multivariate Gaussian Random Variables
The sampling distribution of the total correlation (TC) for a <i>d</i>-dimensional standardized multivariate Gaussian random variable with an identity covariance matrix is derived. It is shown to be the distribution of a sum of generalized beta random variables. It is also shown that, fo...
Main Authors: | , |
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Format: | Article |
Language: | English |
Published: |
MDPI AG
2019-09-01
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Series: | Entropy |
Subjects: | |
Online Access: | https://www.mdpi.com/1099-4300/21/10/921 |