dist_normal.ox

The multivariate Normal distribution mathcal{N}(mu, Sigma)

. This distribution has the density function $f_X(x) = |Sigma|^{-1/2}(2pi)^{-n/2}expleft(-frac{1}{2}(x-mu)'Sigma^{-1}(x-mu)right),$ where

and

are

-vectors, and Sigma

is an

positive definite matrix.

Author:

Y. Zwols

Example:

To generate 20 samples from a standard normal distribution, the following code can be used:

decl Dist = new NormalDistribution(0, 1);
decl Z = Dist.Generate(20);

NormalDistribution : Distribution

Methods
Dim	Gives the dimension of the distribution
Generate	Generates a random sample from the distribution
NormalDistribution	Create a new instance of the NormalDistribution class with parameters and

NormalDistribution :: Dim ( )

Gives the dimension

of the distribution

NormalDistribution :: Generate ( const cT )

Generates a random sample from the distribution

Parameters:

cT	The demanded number of samples

NormalDistribution :: NormalDistribution ( const vMu , const mSigma )

Create a new instance of the NormalDistribution class with parameters

and