Multivariate normal density. Assumes symmetry. — dmvnorm • bayessource

Faster than mvtnorm::dmvnorm(). Implemented in C.

dmvnorm(x, mean, Cov, logd = FALSE, is_chol = FALSE)

Arguments

x	the observation (nxp matrix)
mean	mean vector (row vector, 1xp)
Cov	covariance matrix (pxp)
logd	if TRUE, return the log-density
is_chol	if TRUE, Cov is the upper Cholesky factor of Cov

Value

the density in x (nx1)

See also

Other C++ functions: chol2inv(), diwishart_inverse(), inv_Cholesky_from_Cholesky(), inv_sympd_tol(), inv_triangular(), isCholeskyOn(), ldet_from_Cholesky(), logCummeanExp(), logCumsumExp(), logSumExpMean(), logSumExp(), marginalLikelihood_internal(), rmvnorm(), rwish()

Other statistical functions: diwishart_inverse_R(), diwishart_inverse(), diwishart(), dwishart(), riwish_Press(), rmvnorm(), rwish()