Feature request MvNormal for covellipse

[ga72kud]

It would be nice if the second line would also work

N=MvNormal(μ, Σ)

covellipse(N, n_std=2, aspect_ratio=1, label="cov1")

covellipse(μ, Σ, n_std=2, aspect_ratio=1, label="cov1")

[sethaxen]

I agree, this would be nice.

In general I think this code can be improved.
e.g. We can support trivariate normals by plotting an ellipsoid.
We can also support n-variate normals by allowing the user to specify which slice of the covariance matrix should be plotted.
A corellipse function would be useful as well.
And we could even go so far as to support something like corrplot that plots ellipses for all bivariate slices of the covariance matrix.

Then, for Bayesian modeling, it's useful to view distributions of covariance/correlation matrices. This paper introduces some plots for this: http://www.stat.columbia.edu/~gelman/research/unpublished/Visualization.pdf

[ga72kud]

Thank you! That sounds great!

[sethaxen]

@ga72kud I'm re-opening so we can track this feature.