Compute Log of Multivariate Normal Density
lndMvn computes the log of a Multivariate Normal Density.
lndMvn(x, mu, rooti)
x |
density ordinate |
mu |
mu vector |
rooti |
inv of upper triangular Cholesky root of Σ |
z ~ N(mu,Σ)
Log density value
This routine is a utility routine that does not check the input arguments for proper dimensions and type.
Peter Rossi, Anderson School, UCLA, perossichi@gmail.com.
For further discussion, see Chapter 2, Bayesian Statistics and Marketing by Rossi, Allenby, and McCulloch.
http://www.perossi.org/home/bsm-1
Sigma = matrix(c(1, 0.5, 0.5, 1), ncol=2) lndMvn(x=c(rep(0,2)), mu=c(rep(0,2)), rooti=backsolve(chol(Sigma),diag(2)))
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