Re: multivariate gaussian distribution (Code)

[Emmanuel Benazera <ebenazer at email dot arc dot nasa dot gov>]

Hi Brian,

I remember reading that the matrix decomposition through
eigensystems was more 'stable', while Cholesky was
probably faster. See the implementation in R:
http://rweb.stat.umn.edu/R/library/MASS/html/mvrnorm.html

I used the LU for determinant and matrix inverse only.
I'm not an expert in this field though...

Emmanuel

P.S.: in my opinion the multivariate_gaussian_pdf_LU is rather
useless, because for repeated calls, you want the inverse
 to be computed once and for all.

On Mon, Dec 29, 2003 at 11:41:10AM +0000, Brian Gough wrote:
> Emmanuel Benazera writes:
>  > Hi,
>  > 
>  > here is a tarball. Hope it helps.
>  > 
> 
> Is there any advantage of LU over Cholesky decomposition?
> 
> -- 
> Brian Gough
> 
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