lndMvn {bayesm}R Documentation

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 Upper Triangular Cholesky root of Sigma

Details

z ~ N(mu,Σ)

Value

log density value

Warning

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

Author(s)

Peter Rossi, Graduate School of Business, University of Chicago, Peter.Rossi@ChicagoGsb.edu.

References

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

See Also

lndMvst

Examples

##
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)))

[Package bayesm version 2.2-2 Index]