Why does bivariate_normal return NaN even if the covariance is semi-positive?
I have the following normal distributed points:
import numpy as np
from matplotlib import pylab as plt
from matplotlib import mlab
mean_test = np.array([0,0])
cov_test = array([[ 0.6744121 , -0.16938146],
[-0.16938146, 0.21243464]])
The covariance matrix is ββdefinitely semi-positive, so it can be used as a covariance
# Semi-positive definite if all eigenvalues are 0 or
# if there exists a Cholesky decomposition
print np.linalg.eigvals(cov_test)
print np.linalg.cholesky(cov_test)
[0.72985988 0.15698686]
[[0.82122597 0.] [-0.20625439 0.41218172]]
If I create multiple points I get:
data_test = np.random.multivariate_normal(mean_test, cov_test, 1000)
plt.scatter(data_test[:,0],data_test[:,1])
Question
Why does the method bivariate_normal
fail (returns NaN) when I try to plot the covariance contour?
x = np.arange(-3.0, 3.0, 0.1) y = np.arange(-3.0, 3.0, 0.1) X, Y = np.meshgrid(x, y) Z = mlab.bivariate_normal(X, Y, cov_test[0,0], cov_test[1,1], 0, 0, cov_test[0,1]) print Z plt.contour(X, Y, Z)
Output:
[[ nan nan nan ..., nan nan nan]
[ nan nan nan ..., nan nan nan]
[ nan nan nan ..., nan nan nan]
...,
[ nan nan nan ..., nan nan nan]
[ nan nan nan ..., nan nan nan]
[ nan nan nan ..., nan nan nan]]
ValueError: zero-size array to reduction operation minimum which has no identity
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1 answer
The diagonals of the covariance matrix are the variances, but the arguments sigmax
and sigmay
of mlab.bivariate_normal
are the square roots of the variances. Change this:
Z = mlab.bivariate_normal(X, Y, cov_test[0,0], cov_test[1,1], 0, 0, cov_test[0,1])
:
Z = mlab.bivariate_normal(X, Y,
np.sqrt(cov_test[0,0]), np.sqrt(cov_test[1,1]),
0, 0, cov_test[0,1])
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