[Numpy-discussion] pdf for multivariate normal function?

Charles R Harris charlesr.harris@gmail....
Thu Jul 23 09:43:06 CDT 2009


On Thu, Jul 23, 2009 at 7:14 AM, per freem <perfreem@gmail.com> wrote:

> hi all,
>
> i'm trying to find the function for the pdf of a multivariate normal pdf. i
> know that the function "multivariate_normal" can be used to sample from the
> multivariate normal distribution, but i just want to get the pdf for a given
> vector of means and a covariance matrix. is there a function to do this?
>

Well, what does a pdf mean in the multidimensional case? One way to convert
the density function into a Stieltjes type measure is to plot the integral
over a polytope with one corner at [-inf, -inf,....] and the diagonally
opposite corner at the plotting point, but the multidimensional display of
the result might not be very informative. What do you actually want here?

Chuck
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