pdf_matrix_gaussian

function pdf_matrix_gaussian(X:Real[_,_], M:Real[_,_], U:Real[_,_], V:Real[_,_]) -> Real

PDF of a matrix Gaussian distribution.

  • X: The variate.
  • M: Mean.
  • U: Among-row covariance.
  • V: Among-column covariance.

Returns: the probability density.