Multivariate normal density

log f = -(d/2) log(2 pi) - (1/2) log|Sigma| - (1/2) squared Mahalanobis distance; draws mu + L z with Philox normals.

Usage

MvNormDens(x = NULL, mean = c(0, 0), cov = diag(2), n = 0, seed = 0)

Arguments

x

Point (vector) or matrix of points (rows).

mean

Mean vector.

cov

Covariance matrix.

n

Number of draws.

seed

Philox seed.

Value

list(pdf, logpdf, mahalanobis, random).

References

Anderson, T. W. (2003). An Introduction to Multivariate Statistical Analysis, ch. 2.

Examples

MvNormDens(c(0, 0))$pdf
#> [1] 0.1591549