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Title | Zhy | |
Description | Mathematica: Faster Multinormal Sampling with Different Covariance Linux, Code, |
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Last updated: 2023-05-16 14:04:40
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A collection of stuff on Linux, Programming, and Math. About Command Collection Rough Path Signature Archive Tags RSS feed Zhy Mathematica: Faster Multinormal Sampling with Different Covariance Matrices zhy --> August 12, 2017 Comments Let’s say we are given a set of different covariance matrices. We wish to draw a single sample of the multivariate normal distribution from each of these covariance matrices. Assuming the mean vector is zero, we would code this for a single draw from a single covariance matrix sigma in Mathematica: MultinormalDraw [ sigma_ ] := RandomVariate [ MultinormalDistribution [ sigma ]] To demonstrate why this is slow, we will use a hundred randomly generated $200\times 200$ covariance matrices (that is, matrices that are both symmetric and positive definite): Read more… Multivariable Epsilon-Delta proof example zhy --> April 07, 2017 Comments Multivariable epsilon-delta proofs are generally harder than their single variable counterpart. The difficulty |
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