dlogmultistudent: Calculate logarithms of multiple multivariate Student's t...

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

Calculate logarithms of multiple multivariate Student's t densities with varying mean and covariance matrix of specific structure, but constant degrees of freedom.

Description

dlogmultistudent calculates logarithms of multiple multivariate Student's t densities with varying mean and covaraince matrix of specific structure.

Usage

dlogmultistudent(y, mu, inv_Omega, log_det_Omega, arch_scalars, df)

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.
arch_scalars	length T numeric vector containing the coefficients that multiply the covariance matrix Omega.
df	the degrees of freedom parameter that is common for all t=1,...,T.

Value

Returns a size (T x 1) vector containing the multivariate Student's t densities in logarithm.

saviviro/gmvarkit documentation built on Jan. 4, 2025, 12:52 p.m.