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Daniel Wolff |
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Fri, 19 Aug 2016 13:07:06 +0200 |
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1 function L = log_student_pdf(X, mu, lambda, alpha)
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2 % LOG_STUDENT_PDF Evaluate the log of the multivariate student-t distribution at a point
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3 % L = log_student_pdf(X, mu, lambda, alpha)
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4 %
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5 % Each column of X is evaluated.
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6 % See Bernardo and Smith p435.
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7
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8 k = length(mu);
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9 assert(size(X,1) == k);
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10 [k N] = size(X);
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11 logc = gammaln(0.5*(alpha+k)) - gammaln(0.5*alpha) - (k/2)*log(alpha*pi) + 0.5*log(det(lambda));
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12 middle = (1 + (1/alpha)*(X-mu)'*lambda*(X-mu)); % scalar version
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13 L = logc - ((alpha+k)/2)*log(middle);
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