GClasses::GMultivariateNormalDistribution Class Reference

A multivariate Normal distribution. It can compute the likelihood of a specified vector, and can also generate random vectors from the distribution. More...

#include <GDistribution.h>

Inheritance diagram for GClasses::GMultivariateNormalDistribution:

Public Member Functions
	GMultivariateNormalDistribution (const double *pMean, GMatrix *pCovariance)
	GMultivariateNormalDistribution (GMatrix *pData, size_t nDims)
	~GMultivariateNormalDistribution ()
double	likelihood (const double *pParams)
	Compute the likelihood of the specified vector (which is assumed to be the same size as the number of columns or rows in the covariance matrix). More...
double *	randomVector (GRand *pRand)
	Generates a random vector from this multivariate Normal distribution. More...

Protected Member Functions
void	precompute (GMatrix *pCovariance)

Protected Attributes
double	m_dScale
size_t	m_nDims
GMatrix *	m_pCholesky
GMatrix *	m_pInverseCovariance
double *	m_pMean
double *	m_pVector1
double *	m_pVector2

Detailed Description

A multivariate Normal distribution. It can compute the likelihood of a specified vector, and can also generate random vectors from the distribution.

Constructor & Destructor Documentation

GClasses::GMultivariateNormalDistribution::GMultivariateNormalDistribution	(	const double *	pMean,
		GMatrix *	pCovariance
	)

GClasses::GMultivariateNormalDistribution::GMultivariateNormalDistribution	(	GMatrix *	pData,
		size_t	nDims
	)

GClasses::GMultivariateNormalDistribution::~GMultivariateNormalDistribution

(

)

Member Function Documentation

double GClasses::GMultivariateNormalDistribution::likelihood

(

const double *

pParams

)

Compute the likelihood of the specified vector (which is assumed to be the same size as the number of columns or rows in the covariance matrix).

void GClasses::GMultivariateNormalDistribution::precompute ( GMatrix *  pCovariance )

protected

double* GClasses::GMultivariateNormalDistribution::randomVector

(

GRand *

pRand

)

Generates a random vector from this multivariate Normal distribution.

Member Data Documentation

double GClasses::GMultivariateNormalDistribution::m_dScale

protected

size_t GClasses::GMultivariateNormalDistribution::m_nDims

protected

GMatrix* GClasses::GMultivariateNormalDistribution::m_pCholesky

protected

GMatrix* GClasses::GMultivariateNormalDistribution::m_pInverseCovariance

protected

double* GClasses::GMultivariateNormalDistribution::m_pMean

protected

double* GClasses::GMultivariateNormalDistribution::m_pVector1

protected

double* GClasses::GMultivariateNormalDistribution::m_pVector2

protected