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- # Method 1
- sample = np.random.multivariate_normal(mu, covariance)
- # Method 2
- L = np.linalg.cholesky(covariance)
- sample = L.dot(np.random.randn(3)) + mu
- In [1]: import numpy.random as nr
- In [2]: cov = np.array([[1.0, 0.2, 0.3,],
- [0.2, 1.0, 0.3,],
- [0.3, 0.3, 1.0]])
- In [3]: mu = np.log([0.3, 0.4, 0.5])
- In [4]: mvn = nr.multivariate_normal(mu, cov, size=5)
- In [5]: mvn # This is multivariate normal
- Out[5]:
- array([[-1.36808854, -1.32562291, -1.9706876 ],
- [-2.13119289, 1.28146425, 0.66000019],
- [-2.82590272, -1.22500654, -0.32635701],
- [-0.4967589 , -0.34469589, -2.04084115],
- [-0.85590235, -1.27133544, -0.70959595]])
- In [6]: mvln = np.exp(mvn)
- In [7]: mvln # This is multivariate log-normal
- Out[7]:
- array([[ 0.25459314, 0.26563744, 0.139361 ],
- [ 0.11869562, 3.60190996, 1.9347927 ],
- [ 0.05925514, 0.29375578, 0.72154754],
- [ 0.60849968, 0.70843576, 0.12991938],
- [ 0.42489961, 0.28045684, 0.49184289]])
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