Bas de Haas
Dear List,
I’m implementing a probabilistic model for recognising musical chords in Haskell. This model relies on a multivariate normal distribution. I’ve been searching the internet and mainly hackage for a Haskell library to do this for me, but so far I’ve been unsuccessful.
What I’m looking for is a Haskell function that does exactly what the mvnpdf function in matlab does: http://www.mathworks.nl/help/stats/multivariate-normal-distribution.html
Does anyone know a library that can help me out?
As you are likely aware, the trouble with the multivariate normal is the required inversion of the covariance. If you make assumptions concerning the nature of the covariance (e.g. force it to be diagonal or low dimensional) the problem gets much easier. To treat the general, high dimensional case, you pretty much need a linear algebra library (e.g. HMatrix) to perform the inversion (and determinant for proper normalization). Otherwise, implementing the function given the inverse is quite straightforward. Cheers, - Ben