whiten_constraint: Transform non-iid problem into iid problem

In restrictedMVN: Multivariate Normal Restricted by Affine Constraints

Description

Transform non-iid problem into iid problem

Usage

whiten_constraint(linear_part, offset, mean_param, covariance)

Arguments

linear_part	matrix, linear part of constraints
offset	vector, bias of constraints
mean_param	vector of unconditional means
covariance	vector of unconditional covariance

Value

new linear_part and offset for 0-mean iid covariance problem, and functions that map between the two problems.

restrictedMVN documentation built on May 1, 2019, 7:39 p.m.