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Comments (2)

sethaxen avatar sethaxen commented on June 11, 2024 1

I think something like this would be sufficient:

_quad(d::AbstractMvNormal, t::AbstractVector) = dot(t, cov(d), t)
_quad(d::MvNormal, t::AbstractVector) = PDMats.quad(cov(d), t)
_quad(d::MvNormalCanon, t::AbstractVector) = PDMats.invquad(d.J, t)

function cf(d::AbstractMvNormal, t::AbstractVector)
    return exp(im * dot(mean(d), t) - _quad(d, t) / 2)
end

function mgf(d::AbstractMvNormal, t::AbstractVector)
    return exp(dot(mean(d), t) + _quad(d, t) / 2)
end

from distributions.jl.

jaksle avatar jaksle commented on June 11, 2024

Thanks! This looks simple and good.

from distributions.jl.

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