esaddle (version 0.0.7)

demvn: Evaluate the density of a multivariate Gaussian fit

Description

Given a sample X, it gives a pointwise evaluation of the multivariate normal (MVN) density fit at position y.

Usage

demvn(y, X, log = FALSE, verbose = TRUE, alpha = 2, beta = 1.25)

Arguments

y

points at which the MVN is evaluated. It can be either a d-dimensional vector or an n by d matrix, each row indicating a different position.

X

an n by d matrix containing the data.

log

if TRUE the log-density is returned.

verbose

currently not used.

alpha

tuning parameter of robCov, see ?robCov for details.

beta

tuning parameter of robCov, see ?robCov for details.

Value

A vector where the i-th entry is the density corresponding to the i-th row of y.

Details

The covariance matrix is estimated robustly, using the robCov function.

Examples

# NOT RUN {
library(esaddle)
X <- matrix(rnorm(2 * 1e3), 1e3, 2) # Sample used to fit a multivariate Gaussian
demvn(rnorm(2), X, log = TRUE)      # Evaluate the fitted log-density at a random location
# }