Assuming you have a data matrix X that has n rows and p variables and you know both µ and Σ. How is (X- µ)‘Σ-1(X- µ) distributed? 2) Assuming that you don’t know the values of µ and Σ. How is the statistical distance distributed as n-p gets large?

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LUP Decomposition

LU decomposition stands for Lower-Upper decomposition. LU decomposition is the factorization of the lower triangular matrix and an upper triangular matrix. It is very useful in linear algebra and numerical analysis. A permutation matrix is usually included in the product. Gaussian elimination in a matrix form is known as LU decomposition, When inverting a matrix or evaluating its determinant, this is a crucial step. Tadeusz Banachiewicz, a Polish mathematician, first proposed the LU decomposition in 1938.