Gaussian_densities_Cpp {sstvars} | R Documentation |
Calculate log multivariate Gaussian densities
Description
Calculates logs of multivariate Gaussian densities with varying mean and varying covariance matrix AND EXCLUDING the constant term of the density (the constant is calculated and added in R code). The varying conditional covariance matrix is calculated within the function from the regime covariance matrices and transition weights.
Usage
Gaussian_densities_Cpp(obs, means, covmats, alpha_mt)
Arguments
obs |
a |
means |
a |
covmats |
a |
alpha_mt |
a |
Value
a numeric vector containing the multivariate Gaussian densities, excluding the constant term.