lndMvn: Compute Log of Multivariate Normal Density

In bayesm: Bayesian Inference for Marketing/Micro-Econometrics

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 \sim N(mu,\Sigma)

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, Anderson School, UCLA, [e-mail].

References

For further discussion, see Chapter 2, Bayesian Statistics and Marketing by Rossi, Allenby, and McCulloch.

See Also

lndMvst

Examples

Sigma = matrix(c(1, 0.5, 0.5, 1), ncol=2)
lndMvn(x=c(rep(0,2)), mu=c(rep(0,2)), rooti=backsolve(chol(Sigma),diag(2)))

bayesm documentation built on Sept. 24, 2023, 1:07 a.m.