Density of a (conditional) multivariate normal variate
Density of a (conditional) multivariate normal variate
dcmvnorm(x, mean = 0, V = 1, keep=1, cond=(1:length(x))[-keep], log=FALSE)
x |
vector of observations |
mean |
vector of means |
V |
covariance matrix |
keep |
vector of integers: observations for which density is required |
cond |
vector of integers: observations to condition on |
log |
if TRUE, density p is given as log(p) |
numeric
Jarrod Hadfield j.hadfield@ed.ac.uk
V1<-cbind(c(1,0.5), c(0.5,1)) dcmvnorm(c(0,2), c(0,0), V=V1, keep=1, cond=2) # density of x[1]=0 conditional on x[2]=2 given # x ~ MVN(c(0,0), V1) dcmvnorm(c(0,2), c(0,0), V=V1, keep=1, cond=NULL) # density of x[1]=0 marginal to x[2] dnorm(0,0,1) # same as univariate density V2<-diag(2) dcmvnorm(c(0,2), c(0,0), V=V2, keep=1, cond=2) # density of x[1]=0 conditional on x[2]=2 given # x ~ MVN(c(0,0), V2) dnorm(0,0,1) # same as univariate density because V2 is diagonal
Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.