MultivariateNormalDistribution Class

Represents a multivariate normal distribution.

Definition

Namespace: Numerics.NET.Statistics.Distributions
Assembly: Numerics.NET (in Numerics.NET.dll) Version: 9.0.2
C#
[SerializableAttribute]
public sealed class MultivariateNormalDistribution : MultivariateContinuousDistribution
Inheritance
Object  →  MultivariateContinuousDistribution  →  MultivariateNormalDistribution

Remarks

The multivariate normal distribution is a generalization of the normal distribution. The mean of the multivariate distribution is a vector. The multivariate equivalent of the variance is the variance-covariance matrix, which must be positive semi-definite.

Constructors

MultivariateNormalDistribution(Int32) Constructs a new MultivariateNormalDistribution with mean equal to zero and standard deviation equal to 1.
MultivariateNormalDistribution(Matrix<Double>) Estimates the parameters of the distribution of a set of observations assuming it follows a multivariate normal distribution.
MultivariateNormalDistribution(Vector<Double>) Constructs a new MultivariateNormalDistribution with specified mean and standard deviation equal to 1.
MultivariateNormalDistribution(Vector<Double>[]) Estimates the parameters of the distribution of a variable assuming it follows a normal distribution.
MultivariateNormalDistribution(Vector<Double>, Matrix<Double>) Constructs a new MultivariateNormalDistribution with specified mean and standard deviation.

Properties

Order Gets the number of dimensions of the distribution.
(Inherited from MultivariateContinuousDistribution)

Methods

CreateStandard Represents the standard MultivariateNormalDistribution.
DistributionFunction Returns the cumulative distribution function (CDF) of this distribution for the specified value.
EqualsDetermines whether the specified object is equal to the current object.
(Inherited from Object)
FillSample(Random, Vector<Double>) Fills a vector with a random sample from the distribution.
(Inherited from MultivariateContinuousDistribution)
FillSample(Random, Double[]) Fills a Double array with random numbers.
(Inherited from MultivariateContinuousDistribution)
FillSamples Fills the rows of a matrix with random samples from the distribution.
(Inherited from MultivariateContinuousDistribution)
GetHashCodeServes as the default hash function.
(Inherited from Object)
GetMeans Returns the mean or expectation value of the distribution.
(Overrides MultivariateContinuousDistribution.GetMeans())
GetTypeGets the Type of the current instance.
(Inherited from Object)
GetVarianceCovarianceMatrix Returns the variance of the distribution.
(Overrides MultivariateContinuousDistribution.GetVarianceCovarianceMatrix())
LogProbabilityDensityFunction Returns the natural logarithm of the probability density function (PDF) of this distribution for the specified value.
(Overrides MultivariateContinuousDistribution.LogProbabilityDensityFunction(Vector<Double>))
ProbabilityDensityFunction Returns the value of the probability density function (PDF) of this distribution for the specified value.
(Inherited from MultivariateContinuousDistribution)
Sample(Random) Returns a random sample from the distribution.
(Inherited from MultivariateContinuousDistribution)
Sample(Random, Int32) Returns a matrix with random samples from the distribution.
(Inherited from MultivariateContinuousDistribution)
ToStringReturns a string that represents the current object.
(Inherited from Object)

See Also