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(d) If the data is Gaussian and the covariance matrix is diagonal with entries then the likelihood function becomes:. Next, with n i.i.d. data samples, the likelihood function is. which gives the following log-likelihood function:. The maximum likelihood mean and variance estimators are obtained by differentiating the log-likelihood ratio with respect to the means and variances, setting all ...

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(a) A sample from a d-dimensional multivariate normal distribution with mean and covariance matrix can be generated by applying the inverse of the whitening transformation of equation (44):. to a vector and adding .Here is the matrix whose columns are the orthonormal eigenvectors of, and is the diagonal matrix of eigenvalues. Thus. is .To generate many such samples, repeat the transformation ...

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