dmunorm: Density function of the multivariate normal distribution

In mcsm: Functions for Monte Carlo Methods with R

Description

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

Usage

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

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

Example output

Loading required package: MASS
Loading required package: coda
     [,1]
[1,]    0

mcsm documentation built on May 2, 2019, 10:16 a.m.