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ricardson
2009 Jun 22
1
The gradient of a multivariate normal density with respect to its parameters
Does anybody know of a function that implements the derivative (gradient) of
the multivariate normal density with respect to the *parameters*?
It?s easy enough to implement myself, but I?d like to avoid reinventing the
wheel (with some bugs) if possible. Here?s a simple example of the result
I?d like, using numerical differentiation:
library(mvtnorm)
library(numDeriv)
f=function(pars, xx, yy)