Density of the matrix normal distribution {MN} | R Documentation |
Density of the matrix normal distribution
Description
Density of the matrix normal distribution.
Usage
dmn(X, M, U, V, logged = FALSE)
Arguments
X |
A list with k elements, k matrices of dimension |
M |
The mean matrix of the distribution, a numerical matrix of dimensions |
U |
The covariance matrix associated with the rows, a numerical matrix of dimensions |
V |
The covariance matrix associated with the columns, a numerical matrix of dimensions |
logged |
Should the logarithm of the density be computed? |
Value
A numeric vector with the (logged) density values.
Author(s)
Omar Alzeley.
R implementation and documentation: Omar Alzeley oazeley@uqu.edu.sa.
References
https://en.wikipedia.org/wiki/Matrix_normal_distribution#Definition
Pocuca, N., Gallaugher, M. P., Clark, K. M., & McNicholas, P. D. (2019). Assessing and Visualizing Matrix Variate Normality. arXiv:1910.02859.
See Also
Examples
M <- as.matrix(iris[1:8, 1:4])
U <- cov( matrix( rnorm(100 * 8), ncol = 8 ) )
V <- cov( iris[1:50, 1:4] )
X <- rmn(10, M, U, V)
dmn(X, M, U, V, TRUE)