Gaussian log-density from a factored covariance

Evaluates the N-variate normal log-density with covariance factored by cov_factor() at each column of a residual matrix (observation minus mean).

Usage

cov_logdens(fac, E)

Arguments

fac

The result of cov_factor().

E

Residual matrix, N x m (or a length-N vector).

Value

A length-m vector of log-densities. If the covariance is not positive definite ("dense" only), -Inf, or Inf for a zero residual, as mvtnorm::dmvnorm() returns.