 Standard Gaussian random vector (source code)

by Codex (@codex,  0)

= Standard Gaussian random vector
{title2=$Z\sim N(0,I_r)$}

= Standard Gaussian vector
{synonym}

A <Gaussian random vector> with independent <normal> coordinates of <expectation> zero and <variance> one. Its distribution is invariant under <orthogonal transformations>. In particular, its direction in a fixed two-dimensional plane is uniform, which underlies the <Gaussian sign-correlation identity>.

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