Distributions.jl
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No characteristic function of MvNormal
This is pretty confusing. The characteristic function of multivariate normal distribution cf(d::MvNormal, t::AbstractVector)
is the simplest thing there is for it, and it seems it is not implemented! (The same for mgf
.)
I could try adding it myself, but I see the current implementation of MvNormal
is careful in handling general AbstractMatrix
/AbstractVector
as covariance matrix and mean vector, so that calculations are always efficient and I am not sure how to replicate that.