6.3.9.6.3.1.2. statsmodels.sandbox.distributions.mv_normal.MVNormal.affine_transformed¶

MVNormal.affine_transformed(shift, scale_matrix)[source]¶

return distribution of an affine transform

for full rank scale_matrix only

Parameters:

shift : array_like

shift of mean

scale_matrix : array_like

linear transformation matrix

Returns:

mvt : instance of MVT

instance of multivariate t distribution given by affine transformation

Notes

This should also work to select marginal distributions, but not tested for this case yet.

currently only tested because it’s called by standardized