GClasses
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A multivariate Normal distribution. It can compute the likelihood of a specified vector, and can also generate random vectors from the distribution.
#include <GDistribution.h>
Public Member Functions | |
GMultivariateNormalDistribution (const GVec &mean, GMatrix *pCovariance) | |
GMultivariateNormalDistribution (GMatrix *pData, size_t nDims) | |
~GMultivariateNormalDistribution () | |
double | likelihood (const GVec &x) |
Compute the likelihood of the specified vector (which is assumed to be the same size as the number of columns or rows in the covariance matrix). More... | |
void | randomVector (GRand *pRand, GVec &out) |
Generates a random vector from this multivariate Normal distribution. More... | |
Protected Member Functions | |
void | precompute (GMatrix *pCovariance) |
Protected Attributes | |
double | m_dScale |
GVec | m_mean |
size_t | m_nDims |
GMatrix * | m_pCholesky |
GMatrix * | m_pInverseCovariance |
GVec | m_vector1 |
GVec | m_vector2 |
GClasses::GMultivariateNormalDistribution::GMultivariateNormalDistribution | ( | const GVec & | mean, |
GMatrix * | pCovariance | ||
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GClasses::GMultivariateNormalDistribution::GMultivariateNormalDistribution | ( | GMatrix * | pData, |
size_t | nDims | ||
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GClasses::GMultivariateNormalDistribution::~GMultivariateNormalDistribution | ( | ) |
double GClasses::GMultivariateNormalDistribution::likelihood | ( | const GVec & | x | ) |
Compute the likelihood of the specified vector (which is assumed to be the same size as the number of columns or rows in the covariance matrix).
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Generates a random vector from this multivariate Normal distribution.
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