GaussianDensity function

computes the density function of a gaussian process

GaussianDensity(res, SS, invSS, logabsdetSS)

Arguments

• res: matrix of residuals (N x T)
• SS: covariance matrice or array of covariance matrices (N x N) or (N x N x T)
• invSS: Inverse of SS (N x N) or (N x N x T) - optional input
• logabsdetSS: log(abs(|SS|)) (1 x T) - optional input

Returns

y vector of density (1 x T)

References

This function is based on the "Gaussian" function by Le and Singleton (2018).

"A Small Package of Matlab Routines for the Estimation of Some Term Structure Models."

(Euro Area Business Cycle Network Training School - Term Structure Modelling). Available at: https://cepr.org/40029