Multivariate Distributions

In addition to continuous and discrete univariate distributions, Extreme Numerics.NET provide classes that implement the most common multivariate probability distributions. The classes that implement multivariate probability distributions also reside in the Extreme.Statistics.Distributions namespace.

Multivariate distribution classes provide three major features: access to the moments (mean, etc.), access to the various distribution functions (PDF), and the ability to generate random samples from the distribution.

• The Dirichlet Distribution
• The Multivariate Normal Distribution