Dear List,
Could anyone point me to an analytical expression for the standard deviation for the sum of a number of *correlated* Gaussian random variables (I assume that sum of a correlated gaussians is normally distributed)?
I've found an expression for 2 variables on wikipedia. But I need an expression for n variables (if one exists).
Regards,
Dieter
--
Dieter Vanderelst
PhD Student
Active Perception Lab
University of Antwerp
http://batbits.webnode.com/
Postal Address:
Prinsstraat 13
B-2000 Antwerp
Belgium
|