Re: [Gretl-users] PDF of a multivariate normal
Am 15.02.2016 um 19:26 schrieb Sven Schreiber:
Am 15.02.2016 um 18:48 schrieb Riccardo (Jack) Lucchetti:
> On Mon, 15 Feb 2016, Artur T. wrote:
>
>> Dear gretl friends,
>>
>> does gretl have a built-in function to compute the PDF of a multivariate
>> normal. I couldn't find one which actually suprises me :-)
>> The corresponding matlab function is described here:
>> http://de.mathworks.com/help/stats/mvnpdf.html?requestedDomain=www.mathwo...
>>
>>
>
> Hmmm, we don't have one but clearly adding it wouldn't be a problem.
> Just out of curiosity: what would you need such a function for?
>
Actually, I am just playing around with simple AR-models estimated by
means of the
Metropolis-Hasting algorithm. The Matlab example I found makes use of it to
setup a normal prior.
I'm astonished that Jack didn't answer how easy it is to make
one
yourself :-)
Haha, Sven, actually I really expected it. It in principle it's
not very
difficult
to set this up. But I just was curious whether there already exists a
built-in command.
The use case strikes me as pretty obvious: parametric simulation.
cheers,
sven
Artur