EViews Help: @dmvnorm

Command Reference : Function Reference : Function Reference: D

@dmvnorm

Element Functions

Multivariate normal probability density.

Syntax: @dmvnorm(x, S)

@dmvnormc(x, S)

@dmvnormi(x, S)

@dmvnormic(x, S)

x: vector

S: sym, matrix

Return: number

Evaluate the multivariate normal

density function for vector values of x, and sym

The mean zero multivariate normal density is given by

There are four different forms of the density evaluation function, corresponding to different ways of specifying

. The forms are distinguished by different suffixes that are applied to the base “@dmvnorm” command and how they change the interpretation of the S matrix argument:

@dmvnorm	“”	Supply .
@dmvnormc	“c”	Supply the Cholesky decomposition of . This form is more efficient when performing multiple draws from the same distribution (compute the Cholesky once, but sample many times).
@dmvnormi	“i”	Supply . This form is more efficient than explicitly inverting to supply .
@dmvnormic	“ic”	Supply the Cholesky decomposition of . This form combines the efficiencies of the Cholesky and inverse forms.

Examples

= @dmvnorm(@zeros(3), @identity(3))

returns 0.06349....

Cross-references