6.3.9.6.4. statsmodels.sandbox.distributions.mv_normal.MVNormal0

class statsmodels.sandbox.distributions.mv_normal.MVNormal0(mean, cov)[source]

Class for Multivariate Normal Distribution

original full version, kept for testing, new version inherits from MVElliptical

uses Cholesky decomposition of covariance matrix for the transformation of the data

__init__(mean, cov)[source]

6.3.9.6.4.1. Methods

__init__(mean, cov)
expect_mc(dist[, func, size]) calculate expected value of function by Monte Carlo integration
logpdf(x) logarithm of probability density function
pdf(x) probability density function
rvs([size]) random variable
whiten(x) whiten the data by linear transformation