Multivariate-t | R Documentation |
Density and random generation for the multivariate t distribution, using the Cholesky factor of either the precision matrix (i.e., inverse scale matrix) or the scale matrix.
dmvt_chol(x, mu, cholesky, df, prec_param = TRUE, log = FALSE)
rmvt_chol(n = 1, mu, cholesky, df, prec_param = TRUE)
x |
vector of values. |
mu |
vector of values giving the location of the distribution. |
cholesky |
upper-triangular Cholesky factor of either the precision matrix (i.e., inverse scale matrix) (when |
df |
degrees of freedom. |
prec_param |
logical; if TRUE the Cholesky factor is that of the precision matrix; otherwise, of the scale matrix. |
log |
logical; if TRUE, probability density is returned on the log scale. |
n |
number of observations (only |
See Gelman et al., Appendix A or the BUGS manual for mathematical details. The 'precision' matrix as used here is defined as the inverse of the scale matrix, \Sigma^{-1}
, given in Gelman et al.
dmvt_chol
gives the density and rmvt_chol
generates random deviates.
Peter Sujan
Gelman, A., Carlin, J.B., Stern, H.S., and Rubin, D.B. (2004) Bayesian Data Analysis, 2nd ed. Chapman and Hall/CRC.
Distributions for other standard distributions
mu <- c(-10, 0, 10)
scalemat <- matrix(c(1, .9, .3, .9, 1, -0.1, .3, -0.1, 1), 3)
ch <- chol(scalemat)
x <- rmvt_chol(1, mu, ch, df = 1, prec_param = FALSE)
dmvt_chol(x, mu, ch, df = 1, prec_param = FALSE)
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