Learn R Programming

bayesm (version 1.1-2)

lndMvst: Compute Log of Multivariate Student-t Density

Description

lndMvst computes the log of a Multivariate Student-t Density.

Usage

lndMvst(x, nu, mu, rooti)

Arguments

x
density ordinate
nu
d.f. parameter
mu
mu vector
rooti
inv of Cholesky root of Sigma

Value

  • log density value

concept

  • multivariate t distribution
  • student-t distribution
  • density

Warning

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

Details

$z$ $\sim$ $MVst(mu,nu,\Sigma)$ 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

lndMvn

Examples

Run this code
##
Sigma=matrix(c(1,.5,.5,1),ncol=2)
lndMvst(x=c(rep(0,2)),nu=4,mu=c(rep(0,2)),rooti=backsolve(chol(Sigma),diag(2)))

Run the code above in your browser using DataLab