Multivariate normal density in Python?

Question

Is there any python package that allows the efficient computation of the PDF (probability density function) of a multivariate normal distribution?

It doesn\'t seem to be

Answer 1

I know of several python packages that use it internally, with different generality and for different uses, but I don't know if any of them are intended for users.

statsmodels, for example, has the following hidden function and class, but it's not used by statsmodels:

https://github.com/statsmodels/statsmodels/blob/master/statsmodels/miscmodels/try_mlecov.py#L36

https://github.com/statsmodels/statsmodels/blob/master/statsmodels/sandbox/distributions/mv_normal.py#L777

Essentially, if you need fast evaluation, rewrite it for your use case.