Resource on Gaussian Integral and Moments associated with Gaussian Probability Density Function

less than 1 minute read

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I need to review the derivation of joint entropy calculation of variables that follows a Gaussian probability density function, and I came across this amazing piece of writing by Daniel F. Savarese on Gaussian Integrals. (Link to Paper)

This isn’t a hard read, but it does contain some detail derivations. Highly recommend reading this from the beginning to the end.