View source: R/gaussian_couplings.R
Sample from maximal coupling of two multivariate Normal distributions, specified through their means, the Cholesky factors of their covariance matrices, and the Cholesky factors of the inverse covariance matrices (i.e. the precision matrices).
1 2 | gaussian_max_coupling_cholesky_R(mu1, mu2, Cholesky1, Cholesky2,
Cholesky_inverse1, Cholesky_inverse2)
|
mu1 |
mean of first distribution |
mu2 |
mean of second distribution |
Cholesky1 |
Cholesky factor of variance of first distribution |
Cholesky2 |
Cholesky factor of variance of second distribution |
Cholesky_inverse1 |
Cholesky factor of precision of first distribution |
Cholesky_inverse2 |
Cholesky factor of precision of second distribution |
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