[SciPy-user] How to generate random positive definite matrix

[David Cournapeau]

Anne Archibald wrote:
> Oh, I forgot to say: I wrote a multivariate Gaussian random number
> generator (takes a covariance matrix as input) and some tools to
> compare covariance matrices. They're not perfect (in particular the
> testing is a bit limited) but if they come in handy I'd be happy to
> put them under a BSD license or contribute them to scipy.
I also have mine for quite some time now for my toolbox for EM. Mine is 
a bit more complicated, because I handle the diagonal case separately. I 
didn't know about  this test (I intend to use something like 
Dvoretzky-Kiefer-Wolfowitz tests and apply it to the whole scipy.stats 
package, but that will take time).
>
> The Wishart distribution has too many parameters to really be natural,
> to my taste. (I suppose there is a technical definition of natural in
> terms of category theory, and I bet in the right setting it could be
> shown to be natural.)
Well, that's going beyond my current mathematics knowledge :)

David