[boost] math statistical distribution: multivariate gaussian

Subject: [boost] math statistical distribution: multivariate gaussian
From: Thijs van den Berg (thijs_at_[hidden])
Date: 2008-11-19 06:54:13

Hi,

I'm about to start implementing a library for multivariate Gaussian 
distribution. The goal is to build a lib that provides a container for 
the definition of multivariate Gaussian, as well as implement various 
identities of that distributions.  The identities are things like mean, 
variance but also conditional distributions, density gradients vector, 
linear combinations of multivariate Gaussian, Gaussian chain rule etc.

I've seen request for something like this  in the 
boost:math/statistical_distributions todo's list, and was wondering if 
it's possible to team up, or -if nobody is working on it- initiate 
development.

Best,
Thijs
-- 
SITMO Quantitative Financial Consultancy - Software Development
M.A. (Thijs) van den Berg
Tel.[phone]
Fax.[phone]
thijs_at_[hidden] <mailto:thijs_at_[hidden]> - www.sitmo.com 
<http://www.sitmo.com>