[Numpy-discussion] pdf for multivariate normal function?
Thu Jul 23 21:54:55 CDT 2009
per freem 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?
AFAIK, there is no such function in scipy. There is one in the em
subpackage of the learn scikits. The file which implements it is
self-contained, so you could use this in the meantime:
I wrote this code some time ago, so it is not optimal in various ways,
but it should get the job done.
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