6.1.1.2.3. statsmodels.sandbox.archive.linalg_covmat.MultivariateNormalChol¶
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class
statsmodels.sandbox.archive.linalg_covmat.MultivariateNormalChol(mean, sigma)[source]¶ multivariate normal distribution with cholesky decomposition of sigma
ignoring mean at the beginning, maybe
needs testing for broadcasting to contemporaneously but not intertemporaly correlated random variable, which axis?, maybe swapaxis or rollaxis if x.ndim != mean.ndim == (sigma.ndim - 1)
initially 1d is ok, 2d should work with iid in axis 0 and mvn in axis 1