special.spfun_stats

Some more special functions which may be useful for multivariate statistical analysis.

Module Contents

Functions

multigammaln(a,d) rReturns the log of multivariate gamma, also sometimes called the
multigammaln(a, d)

rReturns the log of multivariate gamma, also sometimes called the generalized gamma.

a : ndarray
The multivariate gamma is computed for each item of a.
d : int
The dimension of the space of integration.
res : ndarray
The values of the log multivariate gamma at the given points a.

The formal definition of the multivariate gamma of dimension d for a real a is

with the condition , and being the set of all the positive definite matrices of dimension d. Note that a is a scalar: the integrand only is multivariate, the argument is not (the function is defined over a subset of the real set).

This can be proven to be equal to the much friendlier equation

R. J. Muirhead, Aspects of multivariate statistical theory (Wiley Series in probability and mathematical statistics).