[SciPy-user] How to generate random positive definite matrix

Bill Baxter wbaxter@gmail....
Mon Jun 11 19:26:07 CDT 2007


On 6/12/07, Anne Archibald <peridot.faceted@gmail.com> wrote:
> On 11/06/07, David Cournapeau <david@ar.media.kyoto-u.ac.jp> wrote:
>
> > Yes, I need them to as parameters of multivariate gaussian. so they need
> > to be real, not hermitian.
>
> Oh, I forgot to say: I wrote a multivariate Gaussian random number
> generator (takes a covariance matrix as input) and some tools to
> compare covariance matrices. They're not perfect (in particular the
> testing is a bit limited) but if they come in handy I'd be happy to
> put them under a BSD license or contribute them to scipy.

That would be a great addition to the cookbook if it's not wanted for
scipy itself.
http://www.scipy.org/Cookbook

--bb


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