| lndMvst {bayesm} | R Documentation |
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 Sigma |
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, Graduate School of Business, University of Chicago, Peter.Rossi@ChicagoGsb.edu.
For further discussion, see Bayesian Statistics and Marketing
by Rossi, Allenby and McCulloch, Chapter 2.
http://faculty.chicagogsb.edu/peter.rossi/research/bsm.html
## Sigma=matrix(c(1,.5,.5,1),ncol=2) lndMvst(x=c(rep(0,2)),nu=4,mu=c(rep(0,2)),rooti=backsolve(chol(Sigma),diag(2)))