Lacking Multivariate Normal distribution

[don-reba]

I was surprised to find Math.NET to lack such a common distribution. I understand that MatrixNormal can be adapted to generate it, with a bit of computational and syntactic overhead. However, this is only possible for positive definite covariance matrices, since MatrixNormal is implemented via a Cholesky decomposition. Positive semi-definite covariance matrices are common and useful. Could a Multivariate Normal decomposition be added? Or else, could MatrixNormal be extended to handle positive semi-definite covariances?

[cdrnet]

Yes, such a distribution could certainly be added. I'd accept such a contribution.

[don-reba]

Good to know. I'll look into contributing.

[don-reba]

Implemented it. Sent you an email about making a pull request.

[sdwfrost]

Hi, quick question on this - are there any updates on the PR?

[don-reba]

Hi, quick question on this - are there any updates on the PR?

The fork is here: https://github.com/don-reba/mathnet-numerics. I used it for a personal project but have not received any feedback from Christoph regarding merging it to Mathnet Numerics.