Re: [boost] math statistical distribution: multivariate gaussian

Subject: Re: [boost] math statistical distribution: multivariate gaussian
From: John Maddock (john_at_[hidden])
Date: 2008-11-19 07:33:52

Thijs van den Berg wrote:
>> 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.

There's nothing in development at present (that I know of), so a submission 
would certainly be welcome.

The main open issue IMO is getting the interface right for the mutivariate 
case.

Regards, John.