lndMvn(bayesm) | R Documentation |
lndIChisq
computes the log of a Multivariate Normal Density.
lndMvn(x, mu, rooti)
x |
density ordinate |
mu |
mu vector |
rooti |
inv of Cholesky root of Sigma |
z ~ MVN(mu,Sigma) note: does not include full normalizing constant
log density value
This routine is a utility routine that does not check the input arguments for proper dimensions and type.
Peter Rossi, Graduate School of Business, University of Chicago, Peter.Rossi@ChicagoGsb.edu.
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
lndMvst
## 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)))