[R] big difference in estimate between dmvnorm and dnorm, how come?
bolker at ufl.edu
Fri Jan 20 16:49:55 CET 2006
saverio vicario <saverio.vicario <at> yale.edu> writes:
> Dear R community,
> I was trying to estimate density at point zero of a multivariate
> distribution (9 dimensions) and for this I was using a multinormal
> approximation and the function dmvnorm , gtools package.
> To have a sense of the error I tried to look the mismatch between a
> unidimensional version of my distribution and estimate density at
> point zero with function density, dmvnorm and dnorm.
> At my big surprise dmvnorm and dnorm give very different result and
> dmvnorm match even better the theoritical distribution than the
> function density. How come?
Because dnorm takes the standard deviation and dmvnorm (which
is in the mvtnorm package, not the gtools package) takes the
variance as an argument. replace var(X) with sd(X) in your call to dnorm and
everything will make more sense.
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