Weighted multivariate normal distribution

Density function for the weighted multivariate normal distribution with mean, covariance matrix sigma, critical values crit_x, and weights omega.

Arguments

x

quantiles.

p

vector of probabilities.

mean

mean

sigma

covariance matrix.

crit_x

vector of critical values defining steps.

omega

vector of weights defining the probability of observing a t-statistics between each of the two steps.

type

type of weight function (defaults to "two.sided").

log, log.p

logical; if TRUE, probabilities p are given as log(p).

Value

.dwmnorm_fast returns a density of the multivariate weighted normal distribution.

See also

Normal, weighted_normal