Category Archive: Probability Basics

Jan 22

Why probability contours for the multivariate Gaussian are elliptical

Every 2D Gaussian concentrates its mass at a particular point (a “bump”), with mass falling off steadily away from its peak.  If we plot regions that have the *same* height on the bump (the same density under the PDF), it turns out they have a particular form: an ellipse.  In this post, I’ll use math …

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