Multivariate vs Original Gaussian Distribution
Aug 31, 2018 · 1 min read
The following is a high-level summary of differences between original Gaussian distribution algorithm and one of its variate called multivariate Gaussian distribution.
Original algorithm requires to manually create extra feature to capture unusual features. Multivariate algorithm, instead, can automatically capture the correlations among features. Original algorithm is computationally cheaper than multivariate algorithm, so that if n > 100,000, original algorithm is a better choice. Original algorithm works when m is small. Multivariate algorithm requires m > n, and in practical, m > 10n.
