rcpp_log_dmvnorm2.R

#' Calculate log likelihood for a multivariate normal
#'
#' @param inv_S inverse covariance matrix
#' @param mu mean vector
#' @param x data vector
#' @param S covariance matrix, ie, the inverse of inv_S
#' @export

rcpp_log_dmvnorm2 <- function(inv_S, mu, x, S) {
    stopifnot(dim(inv_S) == dim(S),
              nrow(inv_S) == ncol(inv_S),
              nrow(inv_S) == length(mu),
              length(mu) == length(x))
    n <- length(x)
    diag <- rcppeigen_get_diag(S)
    return((-n / 2) * log(2 * pi) - sum(log(diag)) - (1 / 2) * (x - mu) %*% inv_S %*% (x - mu))
}