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

View source: R/quantileResiduals.R

dlogmultistudentR Documentation

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 March 8, 2024, 4:15 a.m.