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# gauss_pdf

## PURPOSE

GAUSS_PDF Multivariate Gaussian PDF

## SYNOPSIS

function [P,E] = gauss_pdf(X,M,S)

## DESCRIPTION

```GAUSS_PDF  Multivariate Gaussian PDF

Syntax:
[P,E] = GAUSS_PDF(X,M,S)

In:
X - Dx1 value or N values as DxN matrix
M - Dx1 mean of distibution or N values as DxN matrix.
S - DxD covariance matrix

Out:
P - Probability of X.
E - Negative logarithm of P

Description:
Calculate values of PDF (Probability Density
Function) of multivariate Gaussian distribution

N(X |�M, S)

Function returns probability of X in PDF. If multiple
X's or M's are given (as multiple columns), function
returns probabilities for each of them. X's and M's are
repeated to match each other, S must be the same for all.

See also:
GAUSS_RND```

## CROSS-REFERENCE INFORMATION

This function calls:
This function is called by:
• ckf_update CKF_UPDATE - Cubature Kalman filter update step
• eimm_smooth EIMM_SMOOTH EKF based fixed-interval IMM smoother using two IMM-EKF filters.
• ekf_update1 EKF_UPDATE1 1st order Extended Kalman Filter update step
• ekf_update2 EKF_UPDATE2 2nd order Extended Kalman Filter update step
• ghkf_update GHKF_UPDATE - Gauss-Hermite Kalman filter update step
• imm_smooth IMM_SMOOTH Fixed-interval IMM smoother using two IMM-filters.
• kf_lhood KF_LHOOD Kalman Filter measurement likelihood
• kf_update KF_UPDATE Kalman Filter update step
• uimm_smooth UIMM_SMOOTH UKF based Fixed-interval IMM smoother using two IMM-UKF filters.
• ukf_update1 UKF_UPDATE1 - Additive form Unscented Kalman Filter update step
• ukf_update2 UKF_UPDATE2 - Augmented form Unscented Kalman Filter update step
• ukf_update3 UKF_UPDATE2 - Augmented form Unscented Kalman Filter update step

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