I want to learn Multivariate Gussian distribution so I written the following code.*I am implementing following formula
Iam expecting this type of plot
Where I am doing mistake?
clear all clc % Taking two guassian random variables x=randn(1000,1); y=randn(1000,1); X=[x y]; X=X'; d=size(X,1); % find means of x,y mx=mean(x); my=mean(y); mumat=[mx my]'; mumat=repmat(mumat,1,size(X,2)); Dif_mat=X-mumat; % The above step (Dif_mat) is (X-mu) in the formula cov_mat=cov(X'); % covariance matrix det_cv=det(cov_mat); % det of cov matrix inv_cov=inv(cov_mat); % inverse of cov matrix % scale term before exp in forumala scale=((2*pi)^(d/2))*sqrt((abs(det_cv))); scale=inv(scale); % Mahabolis distance in formula MB=Dif_mat'*cov_mat*Dif_mat; % find the final probability p=scale*exp((-1/2)*MB); surf(x,y,p)
NOTE:-
You're really trying to do two things here. The first is, you have some random data and you want to fit it to a multivariate normal distribution. Your approach to this part works, although it can be streamlined:
n = 1000; d=2; X = randn(n,2);
Get mean and covariance:
mumat=mean(X); cov_mat=cov(X);
The second part is plotting the resulting distribution. Here you need a regular grid for your variables, not the random values you generated above:
x = -3:.2:3; y = -3:.2:3; [X,Y] = meshgrid(x,y); X = X-mumat(1); Y = Y-mumat(2);
Combine X and Y in a way that each row represents one 2D variable.
Z = [X(:) Y(:)];
Now calculate the probabilities.
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