Modified Cholesky MVN

BAMLSS Family for MVN with Modified Cholesky Parameterization

mvn_modchol(k = 2L, ...)

Arguments

k

integer. The dimension of the multivariate distribution.

...

not used.

Value

a bamlss family.

Details

This is a prototype implementation of a BAMLSS family that models a multivariate Normal (Gaussian) distribution by a modified Cholesky decomposition of the covariance matrix.

See also

mvnchol_bamlss