R/multivariate_density.R

In ricky-kotecha/rkHMM:

multivariate_density = function(x, mean, cov_matrix) {
  x_demeaned = x - mean
  x_demeaned = as.matrix(x_demeaned)

  inv_matrix <- solve(cov_matrix)

  mahalanobis_distance = apply(x_demeaned, 1, function(x) {
    t(x) %*% inv_matrix %*% x
  })

  ev <- eigen(cov_matrix, symmetric = TRUE, only.values = TRUE)$values
  logdet <- sum(log(ev))

  if(is.null(ncol(x))) {
    variables = length
  } else {
    variables = ncol(x)
  }

  logretval <- -(variables * log(2 * pi) + logdet + mahalanobis_distance)/2
  return(exp(logretval))
}