lnpdfmvn ============================================== Purpose ---------------- Computes multivariate Normal log-probabilities. Format ---------------- .. function:: z = lnpdfmvn(x, corr) :param x: values at which to evaluate the multivariate normal log probabilities. :type x: NxK matrix :param corr: correlation matrix. :type corr: KxK matrix :return z: log-probabilities. :rtype z: Nx1 vector Examples ---------------- Uncorrelated variables ++++++++++++++++++++++ :: // Correlation matrix corr = { 1 0 , 0 1 }; // X values x1 = seqa(-3, .2, 3/.2); x2 = seqa(-3, .2, 3/.2); x = x1~x2; z = lnpdfmvn(x, corr); print "z ="; z; :: z = -10.83788 -9.67788 -8.59788 -7.59788 -6.67788 -5.83788 -5.07788 -4.39788 -3.79788 -3.27788 -2.83788 -2.47788 -2.19788 -1.99788 -1.87788 Example 2 ++++++++++++++ :: // Correlation matrix corr = { 1 0.60 , 0.60 1 }; // X values x1 = seqa(-3, .2, 3/.2); x2 = seqa(-3, .2, 3/.2); x = x1~x2; z = lnpdfmvn(x, corr); print "z ="; z; After the above code: :: z = -7.23973 -6.51473 -5.83973 -5.21473 -4.63973 -4.11473 -3.63973 -3.21473 -2.83973 -2.51473 -2.23973 -2.01473 -1.83973 -1.71473 -1.63973 Remarks ------- This computes the multivariate Normal log-probability for each row of *x*. Source ------ lnpdfn.src