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ortsed/multi_gaussian.py

Created January 22, 2020 19:07
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Multivariate Gaussian
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multi_gaussian.py
def multivariateGaussian(X, mu, sigma):
k = len(mu)
sigma=np.diag(sigma)
X = X - mu.T
p = 1/((2*np.pi)**(k/2)*(np.linalg.det(sigma)**0.5))* np.exp(-0.5* np.sum(X @ np.linalg.pinv(sigma) * X,axis=1))
return p
p = multivariateGaussian(X, mu, sigma)
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