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Re: Multivariate pdf of a normal distribution
From: |
Prasenjit Kapat |
Subject: |
Re: Multivariate pdf of a normal distribution |
Date: |
Sat, 5 Nov 2005 19:35:47 -0500 |
> I don't know for sure that inv(r') == inv(r)' for r upper triangular.
Analytically it is, but numerically need not be, as Paul rightly showed.
Now while on this multivariate normal issue, how about generating
multivariate normal random variables, given the mean and the sigma
matrix ? any available/easily-writable code ?
Kapat
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- Multivariate pdf of a normal distribution, Gorazd Brumen, 2005/11/05
- Re: Multivariate pdf of a normal distribution, Paul Kienzle, 2005/11/05
- Re: Multivariate pdf of a normal distribution, Mike Miller, 2005/11/05
- Re: Multivariate pdf of a normal distribution, Paul Kienzle, 2005/11/05
- Re: Multivariate pdf of a normal distribution, Mike Miller, 2005/11/05
- Re: Multivariate pdf of a normal distribution,
Prasenjit Kapat <=
- Re: Multivariate pdf of a normal distribution, Mike Miller, 2005/11/05
- Re: Multivariate pdf of a normal distribution, Prasenjit Kapat, 2005/11/05
- Re: Multivariate pdf of a normal distribution, Paul Kienzle, 2005/11/05
- Re: Multivariate pdf of a normal distribution, Mike Miller, 2005/11/06
Re: Multivariate pdf of a normal distribution, Michael Creel, 2005/11/07