dot-dmvnorm_arma: Multivariate normal density function

In lbelzile/mgp: Multivariate generalized Pareto models

Multivariate normal density function

Description

This function returns the log-density for a multivariate Gaussian distribution. The data must be imputed as a matrix, using e.g., as.matrix, with each row representing an observation.

Usage

.dmvnorm_arma(x, mean, sigma, logd = FALSE)

Arguments

x	matrix of observations
mean	mean vector
sigma	positive definite covariance matrix
logd	logical; whether log-density should be returned (default to FALSE)

Value

density or log-density of the nrow(x) sample

lbelzile/mgp documentation built on Aug. 5, 2023, 2:34 a.m.