Multivariate Normal Distribution
The multivariate Normal distribution has the probability density function (PDF):
where \(\mu \in \mathbb{R}^k\) is the mean vector and \(\Sigma \in \mathbb{R}^{k\times k}\) is a positive definite covariance matrix.
Usage
e["Distribution"][*index*]["Type"] = "Multivariate/Normal"
Configuration
These are settings required by this module.
- Mean Vector
Usage: e[“Mean Vector”] = List of real number
Description: Means of the variables.
- Sigma
Usage: e[“Sigma”] = List of real number
Description: Cholesky Decomposition of the covariance matrix.
- Name
Usage: e[“Name”] = string
Description: Defines the name of the distribution.
- Random Seed
Usage: e[“Random Seed”] = unsigned integer
Description: Defines the random seed of the distribution.
- Range
Usage: e[“Range”] = gsl_rng
Description: Stores the current state of the distribution in hexadecimal notation.
Default Configuration
These following configuration will be assigned by default. Any settings defined by the user will override the given settings specified in these defaults.
{ "Mean Vector": [], "Name": "", "Random Seed": 0, "Range": "", "Sigma": [] }