6.3.7. statsmodels.sandbox.distributions.multivariate¶
Multivariate Distribution
Probability of a multivariate t distribution
Now also mvstnormcdf has tests against R mvtnorm
Still need non-central t, extra options, and convenience function for location, scale version.
Author: Josef Perktold License: BSD (3-clause)
Reference: Genz and Bretz for formula
6.3.7.1. Functions¶
bghfactor(df) |
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chi2_pdf(self, x, df) |
pdf of chi-square distribution |
chi_logpdf(x, df) |
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chi_pdf(x, df) |
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funbgh(s, a, b, R, df) |
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funbgh2(s, a, b, R, df) |
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multivariate_t_rvs(m, S[, df, n]) |
generate random variables of multivariate t distribution |
mvnormcdf(upper, mu, cov[, lower]) |
multivariate normal cumulative distribution function |
mvstdnormcdf(lower, upper, corrcoef, **kwds) |
standardized multivariate normal cumulative distribution function |
mvstdtprob(a, b, R, df[, ieps, quadkwds, ...]) |
probability of rectangular area of standard t distribution |