Cholesky MVN (disttree) — dist

disttree Families for MVN with Cholesky Parameterization

dist_mvnchol(k, r = k - 1L, type = c("basic", "modified", "chol"), ...)

Arguments

k: integer. The dimension of the multivariate distribution.
r: Integer, the number of off-diagonals to model (AD-r covariance).
type: character. Choose "basic" Cholesky decomposition or "modified" Cholesky decomposition. (For back compatibility "chol" is identical to "basic".)
...: not used.

Value

a bamlss family.

Details

NOTE: These functions are under development!! disttree families that models a multivariate Normal (Gaussian) distribution by (modified) Cholesky decomposition of the covariance matrix.