Add covariance matrices? #1575
Description
I'm currently using / implementing this myself but I am wondering if it would make sense to add a specific type to describe covariance matrices. This is just a symmetric matrix that is guaranteed to be semi-positive definite.
Functionality (that I am currently using, but more can be added)
- Construction from either a given semi-positive definite matrix or two slices of numbers (with optional weights)
- Drawing random numbers with the given covariances (using LDL from Add LDL decomposition #1515, but the existing UDU decomposition also works)
- Computing the multivariate (log) likelihood. This requires the inverse / precision matrix
- Computing the Mahalanobis distance. This also requires the inverse / precision matrix
but others could be added.