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mdir (version 0.9.0)

pNorm: Multivariate Normal log-likelihood

Description

The log-likelihood function for a point in the multivariate Normal (MVN) distribution.

Usage

pNorm(x, mu, Sigma, is_sympd = TRUE)

Value

the normalised log-likelihood of x in a MVN distribution with parameters mu, Sigma.

Arguments

x

- vector; the sample to calculate the log likelihood of.

mu

- vector; the mean parameter of the MVN distribution.

Sigma

- matrix; the covariance matrix of the MVN distribution.

is_sympd

- boolean; is the covariance matrix positive definite ( calculations are faster if this is the case).