References

Definitions

In the multinorm package, we use the following variable names:

• MultiNorm - the multivariate normal (a.k.a. Gaussian) distribution
• n - the number of dimensions, i.e. number of parameters. Math: \(n\)
• mean - the vector of mean values of the distribution. Math: \(\mu\)
• cov - covariance matrix of the distribution. Math: \(\Sigma\)
• precision - precision matrix. Math: \(\Sigma^{-1}\)

Documents

Some useful references for multivariate normal distributions:

• Wikipedia multivariate normal
• Wikipedia Mahalanobis distance

Codes

Other codes related to multivariate normal distributions:

• Wolfram MultinormalDistribution
• numpy.random.multivariate_normal
• scipy.stats.multivariate_normal
• sklearn.covariance
• uncertainties
• statsmodels