Class: Rubystats::MultivariateNormalDistribution

Inherits:
ProbabilityDistribution show all
Includes:
MultivariateDistribution, NumericalConstants
Defined in:
lib/rubystats/multivariate_normal_distribution.rb

Constant Summary

Constants included from NumericalConstants

NumericalConstants::EPS, NumericalConstants::GAMMA, NumericalConstants::GAMMA_X_MAX_VALUE, NumericalConstants::GOLDEN_RATIO, NumericalConstants::LOG_GAMMA_X_MAX_VALUE, NumericalConstants::MAX_FLOAT, NumericalConstants::MAX_ITERATIONS, NumericalConstants::MAX_VALUE, NumericalConstants::PRECISION, NumericalConstants::SQRT2, NumericalConstants::SQRT2PI, NumericalConstants::TWO_PI, NumericalConstants::XMININ

Instance Attribute Summary

Attributes included from SpecialMath

#log_beta_cache_p, #log_beta_cache_q, #log_beta_cache_res, #log_gamma_cache_res, #log_gamma_cache_x

Instance Method Summary collapse

Methods included from MultivariateDistribution

#pdf

Methods inherited from ProbabilityDistribution

#cdf, #check_range, #find_root, #get_factorial, #icdf, #mean, #pdf, #rng, #variance

Methods included from ExtraMath

#binomial

Methods included from SpecialMath

#beta, #beta_fraction, #complementary_error, #error, #gamma, #gamma_fraction, #gamma_series_expansion, #incomplete_beta, #incomplete_gamma, #log_beta, #log_gamma, #orig_gamma

Constructor Details

#initialize(mu = [0.0,0.0], sigma = [[1.0,0.0],[0.0,1.0]]) ⇒ MultivariateNormalDistribution

Returns a new instance of MultivariateNormalDistribution.



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# File 'lib/rubystats/multivariate_normal_distribution.rb', line 16

def initialize(mu=[0.0,0.0],sigma=[[1.0,0.0],[0.0,1.0]])       
  raise "dimensions of mu vector and sigma matrix doesn't match" if mu.size != sigma.size
  sigma.each{|row| raise "row dim of sigma does not match mu vector" if row.size != mu.size }
  
  mu_f = mu.collect{|x| x.to_f }
  sigma_f = sigma.collect{|row| row.collect{|x| x.to_f}}
  
  @mu = Vector.elements(mu_f)
  @sigma = Matrix.rows(sigma_f)      
  u, d, u_inv = @sigma.eigensystem
  @sigma_inv = u * (1/d) * u_inv      
  @a = u * (d)**(0.5)
  
  @pdf_factor = 1.0 / Math.sqrt((TWO_PI * @sigma).determinant.to_f)
  @stdnorm = Rubystats::NormalDistribution.new(0.0,1.0)
end