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