[SciPy-user] pdf of multivariate normal

David Cournapeau david@ar.media.kyoto-u.ac...
Tue Nov 27 03:18:00 CST 2007


Stefan van der Walt wrote:
> On Mon, Nov 26, 2007 at 07:34:16PM -0800, Andrew Straw wrote:
>> I have the same question myself. I found one implementation:
>> scikits.learn.machine.em.densities.gauss_den()
>>
>> Is there a version in scipy (or numpy)? After searching, I think not,
>> but it does seems this belongs in there -- perhaps in scipy.stats. Any
>> reason beyond the usual (lack of time) why it's not there already?
>
> Isn't learn.machine.em.densities.gauss_den used to estimate parameters
> for Gaussian mixture models?  For a multivariate Gaussian, the mean
> and covariance can be calculated directly.
No, it is used to compute the pdf of a multivariate Gaussian, which is 
then used to compute the pdf of mixtures. AFAIK, there is no 
multivariate facilities in scipy.stats, or did I missed them ? Providing 
the same facilities as in scipy.stats.distribution for multi-variate 
would be quite a lot of coding, though I guess. For example, for cdf 
alone, it is not so easy to compute them generally (but the code is 
already there for kde if I am right, in the mvn extension).

David


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