Last data update: 2014.03.03
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R: Density of the Multivariate t Distribution with Box-Cox...
Density of the Multivariate t Distribution with Box-Cox Tranformation
Description
This function computes the densities at the inputted points of the multivariate t distribution with Box-Cox transformation.
Usage
dmvt(x, mu, sigma, nu, lambda, log=FALSE)
Arguments
x |
A matrix or data frame of size N x P, where N is the number of observations and P is the dimension. Each row corresponds to one observation.
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mu |
A numeric vector of length P specifying the mean.
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sigma |
A matrix of size P x P specifying the covariance matrix.
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nu |
The degrees of freedom used for the t distribution. If nu=Inf , Gaussian distribution will be used.
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lambda |
The Box-Cox transformation parameter. If missing, the conventional t distribution without transformation will be used.
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log |
A logical value. If TRUE then the logarithm of the densities is returned.
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Value
A list with the following components:
value |
A vector of length N containing the density values.
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md |
A vector of length N containing the Mahalanobis distances.
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Author(s)
Raphael Gottardo <raph@stat.ubc.ca>, Kenneth Lo <c.lo@stat.ubc.ca>
Results
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