Student_densities_Cpp {sstvars} | R Documentation |
Calculate log multivariate Student's t densities
Description
Calculates logs of multivariate Student t 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
Student_densities_Cpp(obs, means, covmats, alpha_mt, df)
Arguments
obs |
a |
means |
a |
covmats |
a |
alpha_mt |
a |
df |
the degrees of freedom parameter value (assumed larger than two). |
Details
Note that the parametrization is with the covariance matrix and not the scale matrix.
Value
a numeric vector containing the multivariate Student's t densities, excluding the constant term.