vpdfl : Multivariate Probability Density Function Library

Provides several classes for representing and using multivariate probability density functions (PDFs).

Each PDF comes as a builder-model-sampler triplet of objects.

e.g. The abstract PDF base classes

The multivariate Gaussian PDF classes

The builders are used to compute the model data (eg the means, variances etc) for the models.

The models are used to calculate densities, cumulative probabilities, gradients, etc.

Samplers are used to generate samples from a given model.

The samples are produced with a PDF given by its model.

Mixture models are represented using the vpdfl_mixture class. The vpdfl_mixture_builder uses the EM algorithm to estimate the parameters of the mixtures.


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