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Re: Multivariate pdf of a normal distribution
From: |
Paul Kienzle |
Subject: |
Re: Multivariate pdf of a normal distribution |
Date: |
Sat, 5 Nov 2005 22:13:54 -0500 |
Thanks. I've included mvnrnd in octave-forge.
Looking at the code it uses chol(), and if that doesn't work, it uses
eig().
The R manual for the MASS package has this to say about mvrnorm:
The matrix decomposition is done via eigen; although a Choleski
decomposition might be faster, the eigendecomposition is stabler.
http://stat.ethz.ch/R-manual/R-patched/library/MASS/html/mvrnorm.html
Using the same test I did earlier on ill-conditioned positive definite
matrices, eig doesn't seem to be a more accurate way to compute matrix
inverses. Anyone care to comment on this?
- Paul
On Nov 5, 2005, at 8:43 PM, Mike Miller wrote:
On Sat, 5 Nov 2005, Prasenjit Kapat wrote:
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 ?
I found this recently:
http://www.gatsby.ucl.ac.uk/~iam23/code/mvnrnd.m
It is under the GPL:
http://www.gatsby.ucl.ac.uk/~iam23/code/
Mike
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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, 2005/11/05
- 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 <=
- Re: Multivariate pdf of a normal distribution, Mike Miller, 2005/11/06
Re: Multivariate pdf of a normal distribution, Michael Creel, 2005/11/07