Re: [boost] math statistical distribution: multivariate gaussian

Subject: Re: [boost] math statistical distribution: multivariate gaussian
From: Stjepan Rajko (stjepan.rajko_at_[hidden])
Date: 2008-11-19 10:58:07

2008/11/19 Thijs van den Berg <thijs_at_[hidden]>:
> 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.
>

I would find a boost implementation of a multivariate Gaussian
distribution very useful.  I'm interested in helping.

Best,

Stjepan