Normalise multivariate probability density
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Jerone on 26 Nov 2015
Answered: Dave Behera on 2 Dec 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?
Dave Behera on 2 Dec 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.
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