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From "Jared Becksfort (JIRA)" <>
Subject [jira] [Commented] (MATH-815) Multivariate Normal Distribution
Date Wed, 08 Aug 2012 15:54:20 GMT


Jared Becksfort commented on MATH-815:

I agree that it should not override it, but it complained when I didn't.  Looks like I needed
to revert the abstract class in my working copy.  Feel free to remove it from my latest submission.

It will not be simple to add a method that computes the probability in the box. The reason
for this, in my opinion, is that there is no closed form for the cumulative distribution.
 Computing the probability in the n-dimensional box will require either numerically estimating
the cumulative distribution or the integral of the density function.

This can surely be done, and it will be good to add it at some point, but I would prefer to
wait until I get some more time.  That is the main reason I did not include the cumulative
distribution function in the interface: it will be difficult to compute it for a lot of multivariate
distributions, and I didn't want to discourage submitters of other distributions.
> Multivariate Normal Distribution
> --------------------------------
>                 Key: MATH-815
>                 URL:
>             Project: Commons Math
>          Issue Type: New Feature
>            Reporter: Jared Becksfort
>            Priority: Minor
>         Attachments:,,,, mvn.tgz, mvn2.tgz,,,
>   Original Estimate: 1m
>  Remaining Estimate: 1m
> I will submit a class for Multivariate Normal Distributions.  Not sure if it will allow
sampling initially.
> > Hello,
> >
> > I have implemented some classes for multivariate Normal distributions, multivariate
normal mixture models, and an expectation maximization fitting class for the mixture model.
 I would like to submit it to Apache Commons Math.  I still have some touching up to do so
that they fit the style guidelines and implement the correct interfaces.  Before I do so,
I thought I would at least ask if the developers of the project are interested in me submitting
> >
> > Thanks,
> > Jared Becksfort
> Dear Jared,
> Yes, that would be very nice to have such an addition! Remember to also include unit
tests (refer to the current ones for examples). The best would be to split a submission up
into multiple minor ones, each covering a natural submission (e.g. multivariate Normal distribution
in one submission), and create an issue as described at
> If you run into any problems, please do not hesitate to ask on this mailing list.
> Cheers, Mikkel.

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