Filter löschen
Filter löschen

Normalise multivariate probability density

1 Ansicht (letzte 30 Tage)
Jerone
Jerone am 26 Nov. 2015
Beantwortet: Dave Behera am 2 Dez. 2015
Hi, I have some multivariate data of dimension 4. I have used mvnpdf to compute their densities.
However, I would like to normalise the densities by using a partition function. I wish to calculate:
where pi_l is some constant and N(v;mean;covariance) is the mvnpdf and v is a data point.
How would i go about this?

Antworten (1)

Dave Behera
Dave Behera am 2 Dez. 2015
To compute the integral above, you can use the Multivariate normal cumulative distribution function 'mvncdf' described here:
Also, you may need to multiply the constant pi_l (present within the integral above) to the output of 'mvncdf' function to get the correct result.

Kategorien

Mehr zu Random Number Generation finden Sie in Help Center und File Exchange

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by