22 lines
829 B
Mathematica
22 lines
829 B
Mathematica
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function p = multivariateGaussian(X, mu, Sigma2)
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%MULTIVARIATEGAUSSIAN Computes the probability density function of the
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%multivariate gaussian distribution.
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% p = MULTIVARIATEGAUSSIAN(X, mu, Sigma2) Computes the probability
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% density function of the examples X under the multivariate gaussian
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% distribution with parameters mu and Sigma2. If Sigma2 is a matrix, it is
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% treated as the covariance matrix. If Sigma2 is a vector, it is treated
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% as the \sigma^2 values of the variances in each dimension (a diagonal
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% covariance matrix)
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%
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k = length(mu);
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if (size(Sigma2, 2) == 1) || (size(Sigma2, 1) == 1)
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Sigma2 = diag(Sigma2);
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end
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X = bsxfun(@minus, X, mu(:)');
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p = (2 * pi) ^ (- k / 2) * det(Sigma2) ^ (-0.5) * ...
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exp(-0.5 * sum(bsxfun(@times, X * pinv(Sigma2), X), 2));
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end
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