aesara.tensor.random.multivariate_normal

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aesara.tensor.random.multivariate_normal#

aesara.tensor.random.multivariate_normal = <aesara.tensor.random.basic.MvNormalRV object>[source]#

A multivariate normal random variable.

The probability density function for multivariate_normal in term of its location parameter $\boldsymbol{\mu}$ and covariance matrix $\Sigma$ is

$f(\boldsymbol{x}; \boldsymbol{\mu}, \Sigma) = \det(2 \pi \Sigma)^{-1/2} \exp\left(-\frac{1}{2} (\boldsymbol{x} - \boldsymbol{\mu})^T \Sigma (\boldsymbol{x} - \boldsymbol{\mu})\right)$

where $\Sigma$ is a positive semi-definite matrix.