I am not sure if this question fits to numpy users or mathematicians. I don't understand how the numpy.random.multivariate_normal example works.
In the bottom of the documentation, it generates a few random values given a mean and covariance matrix,
mean = (1, 2)
cov = [[1, 0], [0, 1]]
x = np.random.multivariate_normal(mean, cov, (3, 3))
and then says:
The following is probably true, given that 0.6 is roughly twice the standard deviation.
I understand that this is coming from the empirical rule but I don't know how the standard deviation is 0.3.
Can anyone help me through this?
The sentence you refer to, refers to the property of a normal distribution in general ( enter link description here ),
and not to some NumPy
-specific functionality. As you normalize the samples you ger, ie, reduce the mean, the distribution is shifted around 0
, and given that the std
of the samples is 0.3
, than most of the samples will be generated in range which is less than 3*0.3 = 0.9
from the mean, viz. 0, with the following proportion:
so, it follows that roughly 95% of the times the X you get in the vector you produce will be smaller than 0.6, if the std=0.3
.
Cheers
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