R: Multivariate normal distribution density function

dmvnorm {emdbook} | R Documentation

## Multivariate normal distribution density function

### Description

Calculates the probability density function of the multivariate normal distribution

### Usage

    dmvnorm(x, mu, Sigma, log = FALSE, tol = 1e-06)

### Arguments

`x` | a vector or matrix of multivariate observations
`mu` | a vector or matrix of mean values
`Sigma` | a square variance-covariance matrix
`log` | (logical) return log-likelihood?
`tol` | tolerance for positive definiteness

### Details

uses naive linear algebra – could probably use QR decomposition and/or crossprod.

### Value

vector of log-likelihoods

### Author(s)

Ben Bolker

### See Also

`mvrnorm` (in `MASS` package), `dmvnorm` (in `mvtnorm` package)

### Examples

    M = matrix(c(1,0.5,0.5,0.5,1,0.5,0.5,0.5,1),nrow=3)
    dmvnorm(1:3,mu=1:3,Sigma=M,log=TRUE)
    dmvnorm(matrix(1:6,nrow=2),mu=1:3,Sigma=M,log=TRUE)
    dmvnorm(matrix(1:6,nrow=2),mu=matrix(1:6,nrow=2),Sigma=M,log=TRUE)

[Package emdbook version 1.3.9 Index]