[SciPy-dev] multivariate distributions

josef.pktd@gmai... josef.pktd@gmai...
Tue Jan 26 08:43:30 CST 2010


On Tue, Jan 26, 2010 at 8:32 AM, Thomas Tanner <tanner@gmx.de> wrote:
> josef.pktd@gmail.com wrote:
>> For http://projects.scipy.org/scipy/ticket/846 I access mvndst
>> directly, I think. I don't remember how much I checked the usage of
>> mvnun in kde.
>
> thank you, Josef! it may not fix my problem but it looks useful.
>
> are there any plans to add multivariate (or even matrix variate)
> distributions to SciPy?
> Alan Genz has a some code for mv normal and t
> http://www.math.wsu.edu/faculty/genz/software/software.html

It's on my wishlist, but there are many things on it. Currently the
best package for distributions (outside of the univariate in
scipy.stats) is pymc which includes several multivariate and some
matrix distributions, at least likelihood function and random number
generation, largely in fortran.

I think scikits.learn also has some functions for the multivariate
normal. I wrapped mvtdst with f2py as an experiment to see whether I
would be able to do it. The multivariate t cdf would be useful for
t-copulas. I didn't see a license statement for the Genz code, so he
would need to be specifically asked whether he gives the permission to
include his t code in scipy.

Given that I'm more interested in other things right now, and I
haven't made up my mind what the design of a more general multivariate
distribution class would look like, I don't think I will work much in
this direction anytime soon.

However, I would review and help with any contribution.

As a side issue, since scipy doesn't have a sandbox, I'm spreading my
own extensions to scipy.stats all over the place. I was thinking of
parking them in statsmodels for maturing.
Here is my previous, aborted, attempt to collect some of my functions,
but there is nothing for multivariate distributions besides mvndst
from the ticket
http://bazaar.launchpad.net/~josef-pktd/scipy/scipytrunkwork2/annotate/head%3A/scipy/stats/distribution_extras.py
http://bazaar.launchpad.net/~josef-pktd/scipy/scipytrunkwork2/annotate/head%3A/scipy/stats/extras.py
http://bazaar.launchpad.net/~josef-pktd/scipy/scipytrunkwork2/annotate/head%3A/scipy/stats/examples/ex_distributionextras.py
This was based on the last version of scipy that didn't require numpy 1.4
Other functions are hiding on my computer or on the mailinglists
(semifrozen distributions would be my top priority when I get around
to cleaning it up.)

Josef


>
> best regards,
> --
> Thomas Tanner ------
> email: tanner@gmx.de
> GnuPG: 1024/5924D4DD
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