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How to calculate high-dimensional Gaussian distribution with boost (C++ library).

http://www.boost.org/doc/libs/1_35_0/libs/math/doc/sf_and_dist/html/math_toolkit/dist/dist_ref/dists/normal_dist.html

The documents don't mention how to calculate mutli-dimensional Normal distribution.

oyjh
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  • I don't know about using boost for it, but did you try just using one of many methods to generate arbitrary distributions from uniform ones? – user2520938 May 31 '14 at 07:11
  • Just use a Gaussian to generate each coordinate (then change frame if needed). – Marc Glisse May 31 '14 at 07:15
  • See http://stackoverflow.com/questions/6142576/sample-from-multivariate-normal-gaussian-distribution-in-c or http://www.youtube.com/watch?v=eho8xH3E6mE. – Mihai8 May 31 '14 at 07:42

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