[Numpy-discussion] warning or error for non-physical multivariate_normal covariance matrices?

Michael Gilbert michael.s.gilbert@gmail....
Tue Sep 15 12:38:40 CDT 2009


when using numpy.random.multivariate_normal, would it make sense to warn
the user that they have entered a non-physical covariance matrix? i was
recently working on a problem and getting very strange results until i
finally realized that i had actually entered a bogus covariance matrix.

its easy to determine when this is the case -- its when the
determinant of the covariance matrix is negative.  i.e. the
multivariate normal distribution has det(C)^1/2 as part of the
normalization factor, so when det(C)<0, you end up with an imaginary
probability distribution.

a warning might be better than an error since there may be cases where
the user would intentionally want this type of configuration.


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