Thanks for attention, I have a question about computing the inverse of a matrix, for example, I want to calculate the value of the P.D.F. with a set of sample(size N) Y from a multivariate normal distribution (p-variate), with mean MU and covariance matrix SIGMA, the P.D.F is : det(SIGMA)^(0.5*N)*exp(-0.5*(Y - MU)%*%inv(SIGMA)%*%(Y -MU)) my problem is: how to use GSL calculating the inverse of SIGMA? I have found some solutions on the mailing list, but the solutions are not easy to understand (due to my lack of knowledge), is there any suggestion computing the inverse of a matrix (in a clear and direct way)? Any comment is appreciated!
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