A question regarding mvnpdf
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I have a 2 by 1 variable u_t that varies across time t=1,....,T. This variable follows the multivariate normal N(0, (1\lambda_t)*Sigma) where lambda_t is a scalar , varies across time and follows a gamma density. Sigma is a 2 by 2 matrix.
I want to find the
where lambda=the vector of all lambda_t's
But the mvnpdf does not allow for that since this product (1\lambda)Sigma makes no sense. Is there a way of finding
mvnpdf(u_t(j,:),(1\lambda)Sigma) for each j?
Thanks is advance
Tom Lane on 2 Apr 2013
I'm not sure if the separate Sigma/lambda values correspond to the separate rows of u_t. If they do, here's an example where supply an array of Sigma values by stacking them in a 3-D array, and I multiply each Sigma by the corresponding lambda, and compute the density at the corresponding row of x.
>> x = [1 1;1 2;2 1];
>> mu = [0 0];
>> Sigma = cat(3,eye(2),2*eye(2),eye(2));
>> lambda = [1 .5 .6];
>> for j=1:3; disp(mvnpdf(x(j,:),mu,lambda(j)*Sigma(:,:,j))); end
>> mvnpdf(x,mu,bsxfun(@times,reshape(lambda,[1 1 3]),Sigma))