# [SciPy-user] multivariate distributions

Christopher Fonnesbeck fonnesbeck at mac.com
Wed Jun 2 08:01:48 CDT 2004

```On Jun 2, 2004, at 1:57 AM, Scott Bray wrote:

> G'day Robert,
>
> i was kinda hoping you'd reply - you helped me out a little while ago.
> well my project's sinced progressed and i've hit another problem. hope
> you dont mind if i pick your brain again...
>
> i've done some wide reading and have found lots of info on multivarite
> normal dists and some equations for the joint density of a
> multivariate normal, but it doesn't seem useable to me. i have 5 lots
> of N observations but the multinormal needs means and covariances
> which i have been calculating FROM the functions (i did this using the
> cauchy). i have heard about multivariate cauchy's but haven't been
> able to find any concrete info.
>
> so my question is - how do i 'derive the formula on paper first'?

I'm not sure how a cauchy is going to help you get at a multivariate
normal distribution. Are your data overdispersed, or something? Most
statistics texts will give you the pdf of a multivariate normal; you
just have to code that into python. I have a multivariate normal and
wishart (i.e. multivariate gamma) programmed in FORTRAN and compiled as
a python module using f2py, if you want it.

The rv module in scipy.stats has a multivariate_normal function, but
this simply generates random variables.

C.

--
Christopher J. Fonnesbeck ( c h r i s @ f o n n e s b e c k . o r g )
Georgia Cooperative Fish & Wildlife Research Unit, University of Georgia

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