Here is another tool I learned about and have found very useful ever since then: transformations of random variables. The basic idea is this: Given a random variable $X$ from which we know how it is distributed, i.e., either its probability density function (PDF) $f_X(x)$ or its cumulative distribution function (CDF) $F_X(x)$, find the distribution […]

# Monthly Archives: August 2011

## More algebra fun

I recently posted on algebraic rules for rewriting linear and quadratic forms and showed how Kronecker products come into play when expanding products of matrices. Likewise, we might come into a situation where parameters of interest are inside a Kronecker product which we want to “pull out”. As the operation is still linear this should […]