multivariate gaussian distribution (Code) / bugfix

[Emmanuel Benazera]

Hi Brian,

There was an ugly bug in files I sent to this list a few months
ago. Someone kindly pointed it to me. So here is an updated version.

I've added a function that uses the Cholesky decomposition. On a simple
example, results appear deceiving compared to the LU decomposition.
Someone here would like to investigate further (code + results) before
using this function.

Btw, alpha doesn't appear in functions for triangular matrix that are 
described p.117 of gsl-ref.

cheers,

Emmanuel

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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