Reworked section on multivariate correlations
My charts were mixing position vs time, which was pretty confusing. I changed it to position vs velocity, and demonstrated how multipying the covariances lead to a much better result.
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@@ -330,6 +330,24 @@ def do_plot_test():
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print (count / len(x))
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from numpy.linalg import inv
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from numpy import asarray, dot
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def multivariate_multiply(m1, c1, m2, c2):
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C1 = asarray(c1)
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C2 = asarray(c2)
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M1 = asarray(m1)
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M2 = asarray(m2)
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sum_inv = inv(C1+C2)
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C3 = dot(C1, sum_inv).dot(C2)
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M3 = (dot(C2, sum_inv).dot(M1) +
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dot(C1, sum_inv).dot(M2))
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return M3, C3
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def norm_cdf (x_range, mu, var=1, std=None):
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""" computes the probability that a Gaussian distribution lies
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