[ENH] Multivariate normal probability distribution

[bhavikar04]

Reference Issues/PRs

#22

What does this implement/fix? Explain your changes.

Implements a multivariate normal probability distribution class with associated methods

Does your contribution introduce a new dependency? If yes, which one?

no

What should a reviewer concentrate their feedback on?

There exists no closed or analytical form for cdf of a multivariate normal due to which ppf also cannot be computed. Have implemented a scipy wrapper for now. Additionally, yet to implement energy functionals, one source of reference is
(https://scholar.google.co.in/scholar_url?url=https://pages.stat.wisc.edu/~wahba/stat860public/pdf4/Energy/JSPI5102.pdf&hl=en&sa=X&ei=QQNiZqmfNo3A6rQP6Kmr0AI&scisig=AFWwaeYxyFKVaJ3KgQG_GOoSlG-Q&oi=scholarr)

Did you add any tests for the change?

no

Any other comments?

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• [x ] The PR title starts with either [ENH], [MNT], [DOC], or [BUG]. [BUG] - bugfix, [MNT] - CI, test framework, [ENH] - adding or improving code, [DOC] - writing or improving documentation or docstrings.

[VascoSch92]

It should be a space here. For that reason the pre-commit check is not passing

[fkiraly]

also, class names should not contain underscores, they should be UpperCamelCase

[fkiraly]

Thanks a lot, this is a very important distribution to have!

Some remarks:

• code formatting checks are failing, so the CI will not run. See here how to automate code quality: https://www.sktime.net/en/stable/developer_guide/coding_standards.html
• the multivariate distribution is a bit difficult, since the current broadcasting features do not support parameters that are matrix-shaped per row, such as the covariance matrix of the multivariate normal.
  • so, the approach taken in the PR will probably not work
  • it is very much related to the issue in the histogram distribution, [ENH] Histogram distribution #335. I think there might be a way to solve broadcasting for both distributions together

[bhavikar04]

Thanks a lot, this is a very important distribution to have!

Some remarks:

• code formatting checks are failing, so the CI will not run. See here how to automate code quality: https://www.sktime.net/en/stable/developer_guide/coding_standards.html

• the multivariate distribution is a bit difficult, since the current broadcasting features do not support parameters that are matrix-shaped per row, such as the covariance matrix of the multivariate normal.

  • so, the approach taken in the PR will probably not work
  • it is very much related to the issue in the histogram distribution, [ENH] Histogram distribution #335. I think there might be a way to solve broadcasting for both distributions together

I see, so should I run pre-commit and create a new PR?

[fkiraly]

I see, so should I run pre-commit and create a new PR?

No need to open a new PR - if you update the branch on your fork, the PR also gets automatically updated.