/usr/share/dynare/matlab/particle/probability2.m is in dynare-common 4.4.1-1build1.
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 | 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) 2009-2012 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 ;
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