Sampling the Multivariate Normal distribution | example in Python

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We know that we can sample the univariate Normal/Gaussian distribution by the Box-Mueller transform (among other algorithms). This concept can now be used to easily sample a multivariate version of the distribution.

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Timestamps:
00:00 Introduction
00:33 Problem Description
01:04 Idea of Affine Transformation
01:41 Sampling Standard Multivariate Normal
03:37 Affine Trafo to arbitrary parameters
05:11 Python: Creating one standard sample
06:30 Python: Creating multiple standard samples
07:09 Python: Transformation to arbitrary parameters
09:50 Python: Double-Check the samples
10:20 Outro
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I've got to say, your videos are excellent! Clearly explained and without padding!

easypeasy
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It's 4:23am I'm working on a cw. This is brilliant. Thank you!

norf
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Very good, precise discussion! Thank you!

NipunBatra
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Is it possible to explain some concepts on plotting contours on multivariate normal distributions ?

snesh
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why you are not uploading any new videos?

rollingmean