prob.py 文件源码

def multivariatet(mu, Sigma, N, M, rng):
    """Return a sample (or samples) from the multivariate t distribution.

    This function is adopted from 
    http://kennychowdhary.me/2013/03/python-code-to-generate-samples-from-multivariate-t/.

    :param mu: Mean.
    :type mu: ndarray, shape=(n_dim,), dtype=float
    :param Sigma: Scaling matrix.
    :type Sigma: ndarray, shape=(n_dim, n_dim), dtype=float
    :param float N: Degrees of freedom.
    :param int M: Number of samples to produce. 
    :param np.random.RandomState rng: Random number generator. 
    :return: M samples of (n_dim)-dimensional multivariate t distribution.
    :rtype: ndarray, shape=(n_samples, n_dim), dtype=float

    """
    d = len(Sigma)
    g = np.tile(rng.gamma(N/2., 2./N, M), (d, 1)).T
    Z = rng.multivariate_normal(np.zeros(d), Sigma, M)
    return mu + Z / np.sqrt(g)