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read_cov_L.hpp
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1 #ifndef STAN_MATH_PRIM_MAT_FUN_READ_COV_L_HPP
2 #define STAN_MATH_PRIM_MAT_FUN_READ_COV_L_HPP
3
4 #include <stan/math/prim/mat/fun/Eigen.hpp>
5 #include <stan/math/prim/scal/fun/constants.hpp>
6
7 namespace stan {
8 namespace math {
9
20 template <typename T>
21 Eigen::Matrix<T, Eigen::Dynamic, Eigen::Dynamic>
22 read_cov_L(const Eigen::Array<T, Eigen::Dynamic, 1>& CPCs,
23 const Eigen::Array<T, Eigen::Dynamic, 1>& sds,
24 T& log_prob) {
25 size_t K = sds.rows();
26 // adjust due to transformation from correlations to covariances
27 log_prob += (sds.log().sum() + LOG_2) * K;
28 return sds.matrix().asDiagonal() * read_corr_L(CPCs, K, log_prob);
29 }
30
31 }
32 }
33 #endif
stan::math::LOG_2
const double LOG_2
The natural logarithm of 2, .
Definition: constants.hpp:32
stan::math::read_cov_L
Eigen::Matrix< T, Eigen::Dynamic, Eigen::Dynamic > read_cov_L(const Eigen::Array< T, Eigen::Dynamic, 1 > &CPCs, const Eigen::Array< T, Eigen::Dynamic, 1 > &sds, T &log_prob)
This is the function that should be called prior to evaluating the density of any elliptical distribu...
Definition: read_cov_L.hpp:22
stan
Definition: log_sum_exp.hpp:8
Eigen.hpp
stan::math::read_corr_L
Eigen::Matrix< T, Eigen::Dynamic, Eigen::Dynamic > read_corr_L(const Eigen::Array< T, Eigen::Dynamic, 1 > &CPCs, const size_t K)
Return the Cholesky factor of the correlation matrix of the specified dimensionality corresponding to...
Definition: read_corr_L.hpp:37
constants.hpp

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