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bayesm (version 1.1-2)

lndMvn: Compute Log of Multivariate Normal Density

Description

lndMvn computes the log of a Multivariate Normal Density.

Usage

lndMvn(x, mu, rooti)

Arguments

x
density ordinate
mu
mu vector
rooti
inv of Cholesky root of Sigma

Value

  • log density value

concept

  • multivariate normal distribution
  • density

Warning

This routine is a utility routine that does not check the input arguments for proper dimensions and type.

Details

$z$ $\sim$ $N(mu,\Sigma)$ note: does not include full normalizing constant

References

For further discussion, see Bayesian Statistics and Marketing by Allenby, McCulloch, and Rossi, Chapter 2. http://gsbwww.uchicago.edu/fac/peter.rossi/research/bsm.html

See Also

lndMvst

Examples

Run this code
##
Sigma=matrix(c(1,.5,.5,1),ncol=2)
lndMvn(x=c(rep(0,2)),mu=c(rep(0,2)),rooti=backsolve(chol(Sigma),diag(2)))

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