tests/testthat/test-mvnorm.R

In hriebl/lmls: Gaussian Location-Scale Regression

set.seed(1337)

d <- 10

mu <- runif(d)
sig <- matrix(runif(d^2), d)
sig <- crossprod(sig)

sig_inv <- chol2inv(chol(sig))
chol_sig_inv <- chol(sig_inv)

n <- 10000

x <- rmvnorm(n, mu, chol_sig_inv)

test_that("sampling from multivariate normal works", {
  expect_roughly(rowMeans(x), mu)
  expect_roughly(cov(t(x)), sig)
})

test_that("multivariate normal density works", {
  expect_equal(
    dmvnorm(x[, 1], mu, chol_sig_inv, log = TRUE),
    mvtnorm::dmvnorm(x[, 1], mu, sig, log = TRUE)
  )

  expect_equal(
    dmvnorm(x[, 2], mu, chol_sig_inv, log = FALSE),
    mvtnorm::dmvnorm(x[, 2], mu, sig, log = FALSE)
  )

  expect_equal(
    dmvnorm(x[, 3], mu, chol_sig_inv),
    mvtnorm::dmvnorm(x[, 3], mu, sig)
  )

  expect_equal(
    dmvnorm(x, mu, chol_sig_inv, log = TRUE),
    mvtnorm::dmvnorm(t(x), mu, sig, log = TRUE)
  )
})