python对数正态分布函数_如何在Python中采样多元对数正态分布？

最新推荐文章于 2023-05-28 00:52:26 发布

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最新推荐文章于 2023-05-28 00:52:26 发布

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文章标签： python对数正态分布函数

本文链接：https://blog.csdn.net/weixin_39580748/article/details/111456957

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本文介绍了如何在Python中从多元对数正态分布中采样数据。通过使用numpy库的`multivariate_normal`函数生成多元正态分布的样本，然后对其求指数，即可得到多元对数正态分布的样本。具体步骤包括定义协方差矩阵和均值向量，然后调用相关函数进行计算。

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Using Python, how can I sample data from a multivariate log-normal distribution? For instance, for a multivariate normal, there are two options. Let's assume we have a 3 x 3 covariance matrix and a 3-dimensional mean vector mu.

# Method 1

sample = np.random.multivariate_normal(mu, covariance)

# Method 2

L = np.linalg.cholesky(covariance)

sample = L.dot(np.random.randn(3)) + mu

I found numpy's numpy.random.lognormal, but that only seems to work for univariate samples. I also noticed scipy's scipy.stats.lognorm. This does seem to have the potential for multivariate samples. However, I can't figure out how to do this.

解决方案

A multivariate lognormal distributed random variable Rv should have this property: log(Rv) should follow a normal distribution. Therefore, the problem is really just to generation a rando