Useful mathematical facts#
Collection of various formulae used in the calculations and/or useful stuff.
To write (not in this order):
Some gaussian identities
``Completing the square’’ for quadratic forms
Saddle point method
Central Limit Theorem (different perspectives/proofs)
Large Deviation Theory (or in the statistic chapter?)
Stochastic calculus and SDE
Derivative of functions of matrices
Singular value decomposition (and PCA)
Lagrange multipliers
…
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