public void GenerateTest1()
{
Accord.Math.Tools.SetupGenerator(0);
double[] mean = { 2, 6 };
double[,] cov =
{
{ 2, 1 },
{ 1, 5 }
};
var normal = new MultivariateNormalDistribution(mean, cov);
double[][] source = normal.Generate(10000000);
var target = new MultivariateEmpiricalDistribution(source);
Assert.IsTrue(mean.IsEqual(target.Mean, 0.001));
Assert.IsTrue(cov.IsEqual(target.Covariance, 0.003));
double[][] samples = target.Generate(10000000);
double[] sampleMean = samples.Mean();
double[,] sampleCov = samples.Covariance();
Assert.AreEqual(2, sampleMean[0], 1e-2);
Assert.AreEqual(6, sampleMean[1], 1e-2);
Assert.AreEqual(2, sampleCov[0, 0], 1e-2);
Assert.AreEqual(1, sampleCov[0, 1], 1e-2);
Assert.AreEqual(1, sampleCov[1, 0], 1e-2);
Assert.AreEqual(5, sampleCov[1, 1], 2e-2);
}
