[Numpy-discussion] warning or error for non-physical multivariate_normal covariance matrices?

[Charles R Harris]

On Tue, Sep 15, 2009 at 11:38 AM, Michael Gilbert <
michael.s.gilbert at gmail.com> wrote:

> hi,
>
> when using numpy.random.multivariate_normal, would it make sense to warn
> the user that they have entered a non-physical covariance matrix? i was
> recently working on a problem and getting very strange results until i
> finally realized that i had actually entered a bogus covariance matrix.
>
> its easy to determine when this is the case -- its when the
> determinant of the covariance matrix is negative.  i.e. the
> multivariate normal distribution has det(C)^1/2 as part of the
> normalization factor, so when det(C)<0, you end up with an imaginary
> probability distribution.
>
>
Hmm, you mean it isn't implemented using a cholesky decomposition? That
would (should) throw an error if the covariance isn't symmetric positive
definite.

Chuck
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