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multi logit normal density #74

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multi logit normal density #74

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c5c2f34
multi logit normal density
bob-carpenter Sep 27, 2023
544c4a0
log logistic-normal
bob-carpenter Sep 29, 2023
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15 changes: 15 additions & 0 deletions target_densities/multi-logit-normal.stan
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/**
* Return the multivariate logistic normal density for the specified log simplex.
*
* See: https://en.wikipedia.org/wiki/Logit-normal_distribution#Multivariate_generalization
*
* @param theta a simplex (N rows)
* @param mu location of normal (N-1 rows)
* @param L_Sigma Cholesky factor of covariance (N-1 rows, N-1 cols)
*/
real multi_logit_normal_cholesky_lpdf(vector theta, vector mu, matrix L_Sigma) {
real lp;
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lp += sum(-log(theta));
lp += multi_normal_cholesky_lpdf(log(theta[1:N-1] / theta[N]) | mu, L_Sigma);
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return lp;
}