R: The Multivariate Normal Density

dmvnorm {mixtools} | R Documentation

## The Multivariate Normal Density

### Description

Density and log-density for the multivariate normal distribution with mean equal to `mu` and variance matrix equal to `sigma`.

### Usage

    dmvnorm(y, mu=NULL, sigma=NULL)
    logdmvnorm(y, mu=NULL, sigma=NULL)

### Arguments

`y` | Either a d - vector or an n x d matrix, where d is the dimension of the normal distribution and n is the number of points at which the density is to be evaluated.
`mu` | d - vector: Mean of the normal distribution (or NULL uses the origin as default)
`sigma` | This d x d matrix is the variance matrix of the normal distribution (or NULL uses the identity matrix as default)

### Details

This code is written to be efficient, using the qr-decomposition of the covariance matrix (and using it only once, rather than recalculating it for both the determinant and the inverse of `sigma`).

### Value

`dmvnorm` gives the densities, while `logdmvnorm` gives the logarithm of the densities.

### See Also

`qr`, `qr.solve`, `dnorm`, `rmvnorm`

[Package mixtools version 1.2.0 Index]