bayesm: lndMvst – R documentation

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lndMvst

Compute Log of Multivariate Student-t Density

lndMvst computes the log of a Multivariate Student-t Density.

lndMvst(x, nu, mu, rooti, NORMC)

`x`	density ordinate
`nu`	d.f. parameter
`mu`	mu vector
`rooti`	inv of Cholesky root of Σ
`NORMC`	include normalizing constant (def: `FALSE`)

z ~ MVst(mu, nu, 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)
lndMvst(x=c(rep(0,2)), nu=4,mu=c(rep(0,2)), rooti=backsolve(chol(Sigma),diag(2)))

Bayesian Inference for Marketing/Micro-Econometrics

v3.1-4

GPL (>= 2)

Authors

Peter Rossi <perossichi@gmail.com>

Initial release

2019-10-14