How to draw samples from a multivariate normal using numpy and scipy

preview_player
Показать описание
In this video I show how you can efficiently sample from a multivariate normal using scipy and numpy. We'll leverage the Cholesky decomposition of the covariance matrix to transform standard Gaussian noise into samples from multivariate normal distribution with an arbitrary mean and variance.
Рекомендации по теме
Комментарии
Автор

Hi could you please mention the algorithm that you used ? Some reference papers, link etc ? Also, what if I want to generate mean and co-variance matrix both by program, but not giving direct input ?

kalebdr
Автор

can we also specify max and min of data? how?

sinaasadiyan
Автор

how were you able to do the split screen where you have the code on the left and results on right?

meqme
visit shbcf.ru