This is the mail archive of the
gsl-discuss@sources.redhat.com
mailing list for the GSL project.
Re: multivariate gaussian distribution
- From: Brian Gough <bjg at network-theory dot co dot uk>
- To: Emmanuel Benazera <ebenazer at email dot arc dot nasa dot gov>
- Cc: gsl-discuss at sources dot redhat dot com
- Date: Mon, 22 Dec 2003 14:21:28 +0000
- Subject: Re: multivariate gaussian distribution
- References: <20031219195249.GA20239@wow.arc.nasa.gov>
Emmanuel Benazera writes:
> I've written a few lines of code that implement a multivariate
> gaussian distribution. The function takes the eigenvalues/vectors
> decomposition of the covariance matrix as input, and outputs a
> random vector. In dimension n, it proceeds to n gsl_ran_gaussian
> calls, plus a blas level 2 product. It fits in the GSL framework.
>
> I guess it may be useful to other GSL users. Should it be added
> to the library ? I can provide the piece of code + doc + theoretical
> reference.
Certainly feel free to send it to the list or post it on a webpage
somewhere.
--
Brian Gough