dlogmultinorm: Calculate logarithms of multiple multivariate normal...

In saviviro/gmvarkit: Estimate Gaussian and Student's t Mixture Vector Autoregressive Models

Calculate logarithms of multiple multivariate normal densities with varying mean and constant covariance matrix

Description

dlogmultinorm calculates logarithms of multiple multivariate normal densities with varying mean and constant covariance matrix.

Usage

dlogmultinorm(y, mu, inv_Omega, log_det_Omega)

Arguments

y	dimension (T x k) matrix where each row is a k-dimensional vector
mu	dimension (T x k) matrix where each row is the mean of the k-dimensional vector in corresponding row of y.
inv_Omega	inverse of the (k x k) covariance matrix Omega.
log_det_Omega	logarithm of the determinant of the covariance matrix Omega.

Value

Returns a size (T x 1) vector containing the multinormal densities in logarithm.

saviviro/gmvarkit documentation built on March 8, 2024, 4:15 a.m.