In the paper Parameter Space Noise for Exploration, the authors describe the noise that they add to the parameter vector as:
$$ \tilde{\theta} = \theta + \mathcal{N}(0, \sigma^2I) $$
is $I$ simply the identity matrix, or am I missing something?
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Yes, since $\tilde{\theta}$ is a vector, to define its distribution one needs a covariance matrix. Here $I$ is the identity matrix, which means that the noise has a zero-mean normal distribution with standard deviation $\sigma$, and different components of this noise are uncorrelated.
