MatrixNormal Class |
Generalization of the normal (Gaussian) distribution to matrix-valued random variables.
http://en.wikipedia.org/wiki/Matrix_normal_distribution
Inheritance HierarchySystemObject
FinMath.Statistics.DistributionsCMDistribution
FinMath.Statistics.DistributionsMatrixNormal
FinMath.Statistics.DistributionsCMDistribution
FinMath.Statistics.DistributionsMatrixNormal
Namespace: FinMath.Statistics.Distributions
Assembly: FinMath (in FinMath.dll) Version: 2.4.7-0a995bd0ea1854c2c868ec3f8dae606c5777e170
SyntaxC#
[SerializableAttribute] public class MatrixNormal : CMDistribution
The MatrixNormal type exposes the following members.
Constructors| Name | Description | |
|---|---|---|
 | MatrixNormal(Int32, Int32) |
Creates new instance of MatrixNormal with default settings (0, En, Em).
|
| MatrixNormal(Matrix, Matrix, Matrix) |
Creates new instance of MatrixNormal with user specified parameters.
|
| MatrixNormal(RandomGenerator, Matrix, Matrix, Matrix) |
Creates new instance of with user specified generator and parameters.
|
Properties| Name | Description | |
|---|---|---|
 | ColCovarianceIsPositiveDefinite |
Indicates whether user specified column covariance matrix is positive definite.
|
| ColumnCovariance |
Column covariance matrix.
|
| Columns |
Number of columns in distribution.
(Inherited from CMDistribution.) |
| Entropy |
Entropy of the distribution.
http://en.wikipedia.org/wiki/Information_entropy
(Inherited from CMDistribution.) |
| Mean |
Means matrix.
(Overrides CMDistributionMean.) |
| Method |
Method of normal distribution generation.
|
| Mode |
Mode of the distribution.
http://en.wikipedia.org/wiki/Mode_(statistics)
(Inherited from CMDistribution.) |
| RowCovariance |
Row covariance matrix.
|
| RowCovarianceIsPositiveDefinite |
Indicates whether user specified row covariance matrix is positive definite.
|
| Rows |
Number of rows in distribution.
(Inherited from CMDistribution.) |
Methods| Name | Description | |
|---|---|---|
| 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.) |
| Pdf(Matrix) |
Probability distribution function.
http://en.wikipedia.org/wiki/Probability_density_function
(Overrides CMDistributionPdf(Matrix).) |
 | Pdf(Matrix, Matrix, Matrix, Matrix) |
Probability distribution function.
http://en.wikipedia.org/wiki/Probability_density_function
|
| Sample |
Creates random variable sample.
(Inherited from CMDistribution.) |
| Sample(Matrix) |
Generates random variable sample.
(Overrides CMDistributionSample(Matrix).) |
| Sample(Matrix, Matrix, Matrix) |
Static method which generates sample of matrix normal distribution with user specified generator and parameters.
|
| Sample(RandomGenerator, Matrix, Matrix, Matrix) |
Static method which generates sample of matrix normal distribution with user specified generator and parameters.
|
| ToString | Returns a string that represents the current object. (Inherited from Object.) |
See Also