NormalMultivariate Class |
Normal (or Gaussian) continuous multivariate distribution.
http://en.wikipedia.org/wiki/Multivariate_normal_distribution
Inheritance HierarchySystemObject
FinMath.Statistics.DistributionsCVDistribution
FinMath.Statistics.DistributionsNormalMultivariate
FinMath.Statistics.DistributionsCVDistribution
FinMath.Statistics.DistributionsNormalMultivariate
Namespace: FinMath.Statistics.Distributions
Assembly: FinMath (in FinMath.dll) Version: 2.4.7-0a995bd0ea1854c2c868ec3f8dae606c5777e170
SyntaxC#
[SerializableAttribute] public class NormalMultivariate : CVDistribution
The NormalMultivariate type exposes the following members.
Constructors| Name | Description | |
|---|---|---|
 | NormalMultivariate(Int32) |
Creates new instance of normal distribution with default settings (0, En).
|
| NormalMultivariate(RandomGenerator, Int32) |
Creates new instance of normal distribution with default settings (0, En).
|
| NormalMultivariate(Vector, Matrix) |
Creates new instance of NormalMultivariate with user specified parameters.
|
| NormalMultivariate(RandomGenerator, Vector, Matrix) |
Creates new instance of with user specified generator and parameters.
|
Properties| Name | Description | |
|---|---|---|
 | Covariance |
Covariance matrix of multivariate distribution.
http://en.wikipedia.org/wiki/Covariance_matrix
(Overrides CVDistributionCovariance.) |
| Dimension |
Dimension of the distribution.
(Inherited from CVDistribution.) |
| Entropy |
Entropy of the distribution.
http://en.wikipedia.org/wiki/Information_entropy
(Inherited from CVDistribution.) |
| IsCovariancePositiveDefinite |
Indicates whether user specified covariance matrix is positive definite. N.B., if it's not
positive definite, you can't use sample methods.
|
| Mean |
Mean of the distribution.
http://en.wikipedia.org/wiki/Expected_value
(Inherited from CVDistribution.) |
| Method |
Method of normal distribution generation.
|
| Mode |
Mode of the distribution.
http://en.wikipedia.org/wiki/Mode_(statistics)
(Inherited from CVDistribution.) |
| Variance |
Variance of the distribution.
http://en.wikipedia.org/wiki/Variance
(Inherited from CVDistribution.) |
Methods| Name | Description | |
|---|---|---|
| Cdf |
Cumulative distribution function.
http://en.wikipedia.org/wiki/Cumulative_distribution_function
(Inherited from CVDistribution.) |
| Equals | Determines whether the specified object is equal to the current object. (Inherited from Object.) |
| GetHashCode | Serves as the default hash function. (Inherited from Object.) |
| GetType | Gets the Type of the current instance. (Inherited from Object.) |
|
Probability distribution function.
http://en.wikipedia.org/wiki/Probability_density_function
(Inherited from CVDistribution.) | |
| Sample |
Creates random variable sample.
(Inherited from CVDistribution.) |
| Sample(Int32) |
Generates series of random variable samples.
(Inherited from CVDistribution.) |
| Sample(Double) |
Generates random variable sample.
(Overrides CVDistributionSample(Double).) |
| Sample(Matrix) |
Generates series of random variable samples.
(Overrides CVDistributionSample(Matrix).) |
| Sample(Vector) |
Generates random variable sample.
(Inherited from CVDistribution.) |
 | Sample(Vector, Matrix) |
Static method which generates sample of multivariate normal distribution with user specified generator and parameters.
|
| Sample(RandomGenerator, Vector, Matrix) |
Static method which generates sample of multivariate normal distribution with user specified generator and parameters.
|
| ToString | Returns a string that represents the current object. (Inherited from Object.) |
See Also