lndMvst(bayesm)R Documentation

Compute Log of Multivariate Student-t Density

Description

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

Usage

lndMvst(x, nu, mu, rooti)

Arguments

x density ordinate
nu d.f. parameter
mu mu vector
rooti inv of Cholesky root of Sigma

Details

z ~ MVst(mu,nu,Sigma) note: does not include full normalizing constant

Value

log density value

Warning

This routine is a utility routine that does not check the input arguments for proper dimensions and type.

Author(s)

Peter Rossi, Graduate School of Business, University of Chicago, Peter.Rossi@ChicagoGsb.edu.

References

For further discussion, see Bayesian Statistics and Marketing by Allenby, McCulloch, and Rossi, Chapter 2.
http://gsbwww.uchicago.edu/fac/peter.rossi/research/bsm.html

See Also

lndMvn

Examples

##
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)))

[Package bayesm version 0.0 Index]