Module 14:
Gaussian vectors and linear prediction

Module 14

What this module is for

Both at the bivariate level; especially QR beyond that. Applications should include noisy signals, linear combinations and correlated scenario generation.

Lesson 14.1 · Core

Constructing multivariate normals

Depth: Working proficiency

QT/QR relevance: Especially QR; correlated scenario models

Lesson 14.2 · Core

Gaussian closure and independence

Depth: Interview mastery

QT/QR relevance: Both; avoiding false Gaussian assumptions

Lesson 14.3 · Core

Bivariate Gaussian conditioning

Depth: Interview mastery

QT/QR relevance: Both, especially QR; signal extraction

Lesson 14.4 · Research Depth

Multivariate Gaussian conditioning

Depth: Advanced / quant researcher depth — Extension

QT/QR relevance: QR; multivariate prediction

Lesson 14.5 · Research Depth

Linear models, projections and quadratic forms

Depth: Advanced / quant researcher depth — Extension

QT/QR relevance: QR; foundations for regression and risk decomposition

Assessment

Module 14 assessment

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