MN (version 1.0)

Density of the matrix normal distribution: Density of the matrix normal distribution

Description

Density of the matrix normal distribution.

Usage

dmn(X, M, U, V, logged = FALSE)

Value

A numeric vector with the (logged) density values.

Arguments

X

A list with k elements, k matrices of dimension \(n \ times p\) each. In the case of one matrix only, this may be given as a numerical matrix and not as an element in a list.

M

The mean matrix of the distribution, a numerical matrix of dimensions \(n \times p\).

U

The covariance matrix associated with the rows, a numerical matrix of dimensions \(n \times n\).

V

The covariance matrix associated with the columns, a numerical matrix of dimensions \(p \times p\).

logged

Should the logarithm of the density be computed?

Author

Omar Alzeley.

R implementation and documentation: Omar Alzeley .

References

https://en.wikipedia.org/wiki/Matrix_normal_distribution#Definition

Pocuca, N., Gallaugher, M. P., Clark, K. M., & McNicholas, P. D. (2019). Assessing and Visualizing Matrix Variate Normality. arXiv:1910.02859.

See Also

rmn, mn.mle, ddplot

Examples

M <- as.matrix(iris[1:8, 1:4])
U <- cov( matrix( rnorm(100 * 8), ncol = 8 ) )
V <- cov( iris[1:50, 1:4] )
X <- rmn(10, M, U, V)
dmn(X, M, U, V, TRUE)