scipy/scipy — pull request #2726 by jvkersch (2013-08-14 11:43:43+00:00)
Title: ENH: stats/_multivariate: implementation of multivariate normal variable

This implementation of a multivariate normal (Gaussian) random variable is heavily influenced by the design of scipy/stats/rv_continuous, which deals with 1D random variables. Currently only the pdf and logpdf of the multivariate normal are implemented, but the design of the class is so that other members can easily be added. Also provided are some unit tests, comparing the behavior of the multivariate normal with the 1D case, and testing the behavior of the distribution under marginalization.

This effort arose out of the discussion at

http://mail.scipy.org/pipermail/scipy-dev/2013-August/019053.html

Note that the code snippet there had a small error.