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From Gilles Sadowski <gil...@harfang.homelinux.org>
Subject Re: [math] Unit Tests for Multivariate Distribution Sampling
Date Wed, 25 Jul 2012 16:18:19 GMT
On Wed, Jul 25, 2012 at 09:00:44AM -0500, Becksfort, Jared wrote:
> I have another question, this time about the API.  The covariance matrix of a multivariate
normal distribution is called sigma in a number of R libraries, but I am not sure it is called
that everywhere.  I named the parameters and get methods for the covariance matrix things
like "getSigma" but mentioned covariance matrix in the comments.  Do the developers here have
a preference between getSigma and getCovarianceMatrix?  I can change the parameters accordingly.

Referring to
  http://en.wikipedia.org/wiki/Multivariate_normal_distribution
you are right that the matrix is represented by the capital "Sigma" Greek
letter.

However, in other places in the CM's code, similar data are retrieved with
a method called "getCovariances()".[1]
IMO, it's clearer that the method name refers to the concept (covariance)
rather than the notation (Greek letter).

Hence, I propose to just change the method name:
  getSigma -> getCovariances
(and the name of the instance variable, to reduce possible confusion when
reading the code).

And instead of providing
  double[] getVariances()
(elements on the diagonal of the matrix),
I'd provided, as a convenience,
  double[] getStandardDeviation()
(square-root of the elements on the diagonal).


Regards,
Gilles

[1] org.apache.commons.math3.optimization.general.AbstractLeastSquaresOptimizer

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