Lecture

Conditional Gaussian Generation

In course

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Description

This lecture covers the generation of multivariate Gaussian distributions, including the generation of processes like Wiener process and Brownian bridge. It also discusses the generation of stationary Gaussian random fields and the challenges of factorizing covariance matrices. The instructor explores different algorithms for generating Gaussian distributions and emphasizes the importance of understanding the characteristics of Gaussian variables.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_oz4alvgb

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