Gaussian_densities_const_Cpp: Calculate log multivariate Gaussian densities

In sstvars: Toolkit for Reduced Form and Structural Smooth Transition Vector Autoregressive Models

Calculate log multivariate Gaussian densities

Description

Calculates logs of multivariate Gaussian densities with constant mean and constant covariance matrix AND EXCLUDING the constant term of the density (the constant is calculated and added in R code).

Usage

Gaussian_densities_const_Cpp(obs, mean, cholcovmat)

Arguments

obs	a (T \times dp) matrix such that the i:th row contains the vector (y_{i-1}',...,y_{i-p}') ((dp)x1), where y_{i}=(y_{1i},...,y_{di}) (dx1). That is, the initial values are included but the last observations not.
mean	the ((dp)x1) mean vector, rep(all_mu[,m], times=p), that is the same for all observations.
cholcovmat	the (dp \times dp) covariance matrix that is the same for all observations.

Details

This function is used in the relative density transition weights with Gaussian regimes.

Value

a numeric vector containing the multivariate Gaussian densities, excluding the constant term.

sstvars documentation built on April 11, 2025, 5:47 p.m.