MultivariateNormal: The Multivariate Normal Distribution
Description
Density and random generation for the multivariate normal distribution, using the Cholesky factor of either the precision matrix or the covariance matrix.
dmnorm_chol gives the density and rmnorm_chol generates random deviates.
Arguments
x
vector of values.
mean
vector of values giving the mean of the distribution.
cholesky
upper-triangular Cholesky factor of either the precision matrix (when prec_param is TRUE) or covariance matrix (otherwise).
prec_param
logical; if TRUE the Cholesky factor is that of the precision matrix; otherwise, of the covariance matrix.
log
logical; if TRUE, probability density is returned on the log scale.
n
number of observations (only n=1 is handled currently).
Author
Christopher Paciorek
Details
See Gelman et al., Appendix A or the BUGS manual for mathematical details. The rate matrix as used here is defined as the inverse of the scale matrix, \(S^{-1}\), given in Gelman et al.
References
Gelman, A., Carlin, J.B., Stern, H.S., and Rubin, D.B. (2004) Bayesian Data Analysis, 2nd ed. Chapman and Hall/CRC.