computes the density of particles in a gaussian-mixture distribution.

matlab/particle/probability2.m

@@ -0,0 +1,38 @@
+function [density] = probability2(mu,S,X) 
+%
+% Multivariate gaussian density
+% 
+% INPUTS
+%    n                  [integer]   scalar, number of variables.
+%
+% OUTPUTS
+%    nodes          [double]    nodes of the cubature
+%    weigths        [double]    associated weigths
+%
+% REFERENCES
+% 
+%
+% NOTES
+% 
+% Copyright (C) 2009-2011 Dynare Team
+%
+% This file is part of Dynare.
+%
+% Dynare is free software: you can redistribute it and/or modify
+% it under the terms of the GNU General Public License as published by
+% the Free Software Foundation, either version 3 of the License, or
+% (at your option) any later version.
+%
+% Dynare is distributed in the hope that it will be useful,
+% but WITHOUT ANY WARRANTY; without even the implied warranty of
+% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
+% GNU General Public License for more details.
+%
+% You should have received a copy of the GNU General Public License
+% along with Dynare.  If not, see <http://www.gnu.org/licenses/>.
+
+dim = size(X,1) ;              
+normfact = bsxfun(@power,(2*pi),(dim/2)) ;  
+foo = S\(bsxfun(@minus,X,mu)) ;
+density = exp(-0.5*sum(foo.*foo)')./abs((normfact*prod(diag(S)))) + 1e-99 ;
+