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scipy.special.multigammaln

scipy.special.multigammaln(a, d)

Returns the log of multivariate gamma, also sometimes called the generalized gamma.

Parameters :

a : ndarray

The multivariate gamma is computed for each item of a.

d : int

The dimension of the space of integration.

Returns :

res : ndarray

The values of the log multivariate gamma at the given points a.

Notes

The formal definition of the multivariate gamma of dimension d for a real a is:

\Gamma_d(a) = \int_{A>0}{e^{-tr(A)\cdot{|A|}^{a - (m+1)/2}dA}}

with the condition a > (d-1)/2, and A > 0 being the set of all the positive definite matrices of dimension s. Note that a is a scalar: the integrand only is multivariate, the argument is not (the function is defined over a subset of the real set).

This can be proven to be equal to the much friendlier equation:

\Gamma_d(a) = \pi^{d(d-1)/4}\prod_{i=1}^{d}{\Gamma(a - (i-1)/2)}.

References

R. J. Muirhead, Aspects of multivariate statistical theory (Wiley Series in probability and mathematical statistics).