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Re: [Help-gsl] Inverse of a matrix

From: Ralph Silva
Subject: Re: [Help-gsl] Inverse of a matrix
Date: Sat, 29 Apr 2006 16:49:54 +0000


attached I have my own functions for multivariate normal, Student t and
Wishart distributions.  You can take a look and see how the inverse of a
matrix is calculated.

All the functions were compared with the results of R-2.2.1 software ( ) and seem to be working perfectly.


On 4/29/06, 廖宮毅 <address@hidden> wrote:

Thanks for attention, I have a question about computing the inverse of a
matrix, for example, I want to calculate the value of the P.D.F. with a
set of sample(size N) Y from a multivariate normal distribution
(p-variate), with mean MU and covariance matrix SIGMA,  the P.D.F is :
   det(SIGMA)^(0.5*N)*exp(-0.5*(Y - MU)%*%inv(SIGMA)%*%(Y -MU))
my problem is: how to use GSL calculating the inverse of SIGMA?
I have found some solutions on the mailing list, but the solutions are
not easy to understand (due to my lack of knowledge), is there any
suggestion computing the inverse of a matrix (in a clear and direct
way)? Any comment is appreciated!

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