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https://issues.apache.org/jira/browse/MATH-815?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13430652#comment-13430652
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Jared Becksfort commented on MATH-815:
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Also, some of the tolerances are still high because they have to do with the
results returned by sampling. I am currently sampling around 5 million times
to get the sample means and covariance matrix. The tolerances provided are
about as close as I can get to the true values unless we want to sample more.
It currently takes 5 to 10 seconds for the unit tests to run. I am not sure if
that is typical, short, or long for tests in this project.
> Multivariate Normal Distribution
> --------------------------------
>
> Key: MATH-815
> URL: https://issues.apache.org/jira/browse/MATH-815
> Project: Commons Math
> Issue Type: New Feature
> Reporter: Jared Becksfort
> Priority: Minor
> Attachments: MultivariateNormalDistribution.java,
> MultivariateNormalDistributionTest.java, acm_mvn_0807.zip, mvn.tgz, mvn2.tgz,
> mvn3.zip, mvn4.zip, patch
>
> Original Estimate: 1m
> Remaining Estimate: 1m
>
> I will submit a class for Multivariate Normal Distributions. Not sure if it
> will allow sampling initially.
> > Hello,
> >
> > I have implemented some classes for multivariate Normal distributions,
> > multivariate normal mixture models, and an expectation maximization fitting
> > class for the mixture model. I would like to submit it to Apache Commons
> > Math. I still have some touching up to do so that they fit the style
> > guidelines and implement the correct interfaces. Before I do so, I thought
> > I would at least ask if the developers of the project are interested in me
> > submitting them.
> >
> > Thanks,
> > Jared Becksfort
> Dear Jared,
> Yes, that would be very nice to have such an addition! Remember to also
> include unit tests (refer to the current ones for examples). The best would
> be to split a submission up into multiple minor ones, each covering a natural
> submission (e.g. multivariate Normal distribution in one submission), and
> create an issue as described at
> http://commons.apache.org/math/issue-tracking.html .
> If you run into any problems, please do not hesitate to ask on this mailing
> list.
> Cheers, Mikkel.
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