Yesterday I described my experiences implementing multivariate Gaussian distributions in Julia. I’ve since repeated the exercise in Clojure, for any time you might need to do such a thing on the JVM. I’m using core.matrix for array operations.
μ, again is just
To calculate the covariance matrix:
This is just Σ = (X - μ)’(X - μ) / n (where n is the number of examples).
And now that we have μ and Σ, we can use this function for probability:
I’ve wrapped the code for this up in a library, available on Github.