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pythonnumpyscipyprobability

Multivariate normal density in Python?

Is there any python package that allows the efficient computation of the PDF (probability density function) of a multivariate normal distribution?

It doesn't seem to be included in Numpy/Scipy, and surprisingly a Google search didn't turn up any useful thing.

Solution

  • The multivariate normal is now available on SciPy 0.14.0.dev-16fc0af:

    from scipy.stats import multivariate_normal
var = multivariate_normal(mean=[0,0], cov=[[1,0],[0,1]])
var.pdf([1,0])