public void MultivariateNormalGenerateTest()
{
// mean vector
double[] mu = { 2.0, 6.0 };
// covariance
double[,] cov =
{
{ 2, 1 },
{ 1, 5 }
};
// Create a multivariate Normal distribution
var normal = new MultivariateNormalDistribution(mu, cov);
// Generate 1000000 samples from it
double[][] samples = normal.Generate(1000000);
// Try to estimate a new Normal distribution from
// generated samples to check if they indeed match
var actual = MultivariateNormalDistribution.Estimate(samples);
Assert.IsTrue(mu.IsEqual(actual.Mean, 0.1));
Assert.IsTrue(cov.IsEqual(actual.Covariance, 0.1));
}
