I want to calculate the multivariate gaussian density function for a data set I have on python. My dataset has 21 variables and there 75 data points.
I have calculated the covariance matrix (cov) for this which is a 21*21 array, and the mean array, m, which has shape (21,). The other input I need to use this scipy function is "Quantiles(array-like), with the last axis of x denoting the components".
I don't really understand what the quantiles refers to.
I wrote my quantiles input for the function as quantiles = np.array([0.0, 0.01, 0.05, 0.1, 1-0.10, 1-0.05, 1-0.01, 1.0]) but I keep getting an error when I then compute scipy.stats.multivariate_normal.pdf(quantiles,m,cov)
The error is: valueError:operands could not be broadcast together with shapes (1,8) (21,)
Could anyone help??