Multivariate normal density in Python?

Question

Is there any python package that allows the efficient computation of the PDF (probability density function) of a multivariate normal distribution?

It doesn\'t seem to be

Answer 1

You can easily compute using numpy. I have implemented as below for the purpose of machine learning course and would like to share, hope it helps to someone.

import numpy as np
X = np.array([[13.04681517, 14.74115241],[13.40852019, 13.7632696 ],[14.19591481, 15.85318113],[14.91470077, 16.17425987]])

def est_gaus_par(X):
    mu = np.mean(X,axis=0)
    sig = np.std(X,axis=0)
    return mu,sig

mu,sigma = est_gaus_par(X)

def est_mult_gaus(X,mu,sigma):
    m = len(mu)
    sigma2 = np.diag(sigma)
    X = X-mu.T
    p = 1/((2*np.pi)**(m/2)*np.linalg.det(sigma2)**(0.5))*np.exp(-0.5*np.sum(X.dot(np.linalg.pinv(sigma2))*X,axis=1))

    return p

p = est_mult_gaus(X, mu, sigma)