Thijs van den Berg wrote:
I'm about to start implementing a library for multivariate Gaussian distribution. The goal is to build a lib that provides a container for the definition of multivariate Gaussian, as well as implement various identities of that distributions. The identities are things like mean, variance but also conditional distributions, density gradients vector, linear combinations of multivariate Gaussian, Gaussian chain rule etc.
I've seen request for something like this in the boost:math/statistical_distributions todo's list, and was wondering if it's possible to team up, or -if nobody is working on it- initiate development.
There's nothing in development at present (that I know of), so a submission would certainly be welcome. The main open issue IMO is getting the interface right for the mutivariate case. Regards, John.