On 6/26/2011 5:53 PM, zerfetzen wrote:
IIRC, package mvtnorm will allow an X matrix, but requires mu to be a vector,
so although it's close, it won't do it all...but all suggestions are well
received.
Dimitrius, you don't happen to have the multivariate t form of that
function, do you?
Well, it's relatively easy to adjust it, e.g.,
dmvt <- function (x, mu, Sigma, df, log = FALSE) {
if (!is.matrix(x))
x <- rbind(x)
p <- nrow(Sigma)
ed <- eigen(Sigma, symmetric = TRUE)
ev <- ed$values
if (!all(ev >= -1e-06 * abs(ev[1])))
stop("'Sigma' is not positive definite")
ss <- if (!is.matrix(mu)) {
x - rep(mu, each = nrow(x))
} else {
x - mu
}
inv.Sigma <- ed$vectors %*% (t(ed$vectors)/ev)
quad <- rowSums((ss %*% inv.Sigma) * ss)/df
fact <- lgamma((df + p)/2) - lgamma(df/2) -
0.5 * (p * (log(pi) + log(df)) + sum(log(ev)))
if (log)
fact - 0.5 * (df + p) * log(1 + quad)
else
exp(fact) * ((1 + quad)^(-(df + p)/2))
}
Best,
Dimitris
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--
Dimitris Rizopoulos
Assistant Professor
Department of Biostatistics
Erasmus University Medical Center
Address: PO Box 2040, 3000 CA Rotterdam, the Netherlands
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