Density function of the multivariate normal distribution

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Description

This function computes the density of the multivariate normal distribution N(mu,sig) in either natural or logarithmic scales.

Usage

1
dmunorm(x, mu, sig, log = FALSE)

Arguments

x

Running argument of the density

mu

Mean mu of the normal distribution

sig

Covariance matrix sig of the normal distribution

log

Boolean describing whether or not the output is in logarithmic scales

Value

This function returns a real number corresponding to the density in x in either natural or logarithmic scales.

Warning

This function is fragile in that it does not test for

  1. the fact that sig is a square matrix,

  2. the compatibility of the dimensions of x, mu, sig

  3. the symmetry nor the invertibility of the matrix sig

It is therefore prone to fail if those conditions are not satified! If the package mvtnorm is installed, the function dmvnorm should be used instead.

Author(s)

Christian P. Robert and George Casella

References

Chapter 8 of EnteR Monte Carlo Statistical Methods

Examples

1
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dmunorm(c(1,2),c(1,2),diag(rep(1,2)))-1/(2*pi)
# Should be equal to zero!

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