multivariate-gaussian

Multivariate normal distribution density function implemented in javascript

How to use

var Gaussian = require('multivariate-gaussian');
 
var distribution_parameters = {
  // n*n covariance matrix
  sigma : [[1, 0.5], [0.5, 1]],
  // n-dimensional mean vector
  mu : [0, 0]
}
 
var my_gaussian = new Gaussian(distribution_parameters);
 
my_gaussian.density([0, 0]); // Returns the value of the density function at (0,0)

Tests

You can run tests with npm test in the main folder of this repo. This library uses standard ES5 syntax, and works in all versions node and in the browser.