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Re: multivariate gaussian distribution (Code)
- From: Przemyslaw Sliwa <sliwa at euv-frankfurt-o dot de>
- To: <ebenazer at email dot arc dot nasa dot gov>
- Cc: <gsl-discuss at sources dot redhat dot com>
- Date: Tue, 30 Dec 2003 12:31:38 +0100 (MET)
- Subject: Re: multivariate gaussian distribution (Code)
- References: <20031229233500.GF5259@wow.arc.nasa.gov>
Hi Emmanuel (again),
What kind of multivariate distributions are you interested in?
Did you think of a specific family, some skewed densities, etc.
I am strongly interested in this topic, so probably we both can benefit
from that.
Regards,
Przem
> It is easy to implement the Cholesky method. I'll do it if
> people are interested.
>
> Once again though, the R statistical package
> (that is a well-known library) uses the eigenvalues decomposition:
> http://rweb.stat.umn.edu/R/library/MASS/html/mvrnorm.html
>
> Please take time to read the messages !
>
> Emmanuel