Factor analysis multivariate normal log-probability density function

Woodbury matrix identity is used for efficient computation.

Usage

fa_multi_normal_lpdf(x, mu, Lambda, psi, sum = TRUE)

Arguments

x

Vector or matrix of quantiles.

mu

Vector of means.

Lambda

Factor loading matrix (P x K).

psi

Vector of unique variances (P).

Value

The sum of the log-density.