44 lines
1.5 KiB
Matlab
44 lines
1.5 KiB
Matlab
function [ldens,Dldens,D2ldens] = lpdfnorm(x,a,b)
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% Evaluates the logged UNIVARIATE GAUSSIAN PDF at x.
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%
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% INPUTS
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% x [double] m*n matrix of locations,
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% a [double] m*n matrix or scalar, First GAUSSIAN distribution parameters (expectation)
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% b [double] m*n matrix or scalar, Second GAUSSIAN distribution parameters (standard deviation).
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%
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% OUTPUTS
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% ldens [double] m*n matrix of logged GAUSSIAN densities evaluated at x.
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% Dldens [double] m*n matrix of first derivatives of logged GAUSSIAN densities.
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% D2ldens [double] m*n matrix of second derivatives of logged matrix of GAUSSIAN densities.
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%
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% SPECIAL REQUIREMENTS
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% none
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% Copyright © 2003-2021 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
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if nargin<3, b=1; end
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if nargin<2, a=0; end
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ldens = -log(b) -.5*log(2*pi) - .5*((x-a)./b).*((x-a)./b) ;
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if nargout >1
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Dldens = - (1./b).*((x-a)./b) ;
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end
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if nargout == 3
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D2ldens = - (1./b).^2 ;
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end |