PyQuadraticFormNormal

Python library that implements the computation of quadratic form of normal random variables, i.e., it allows the computation of the distribution of a linear combination of non-centered χ2 random variables.

Library Author: Alessio Russo (PhD Student at KTH - [email protected])
License: MIT

Requirements

• Python 3.7, PyBind, NumPy

Installation

Use the setup.py file to install the library (execute the command pip install .)

Usage/Examples

See also the example file in examples/example.py

Known problems

TODO

• Add better examples
• Finish renaming of the methods
• Finish cleanup of the C code

License

The code is released under the MIT license