Rather specialized. As this appears to be primarily a statistical, not an R programming question, you may do better posting on a statistical site like http://stats.stackexchange.com/ if you don't get a satisfactory reply here . Alternativey, if you think this is a package bug, perhaps contact the package maintainer directly, as (s)he may not monitor this list.
-- Bert Bert Gunter "The trouble with having an open mind is that people keep coming along and sticking things into it." -- Opus (aka Berkeley Breathed in his "Bloom County" comic strip ) On Mon, Oct 2, 2017 at 5:16 AM, Hollie Johnson (PGR) < h.a.john...@newcastle.ac.uk> wrote: > Currently doing some work on local maxima on a random field and have > encountered an issue with the Miwa algorithm used with the pmvnorm function > in the mvtnorm R package. > > Based on recommendations by Mi et al., we ran the mvtnorm package using > the Miwa algorithm, since we have a maximum of 4 dimensions with > non-singular matrices. However, running the estimation procedure in this > way, we obtained inconsistent results. For example, using matrices A and B, > it is clear to see that matrix B is the results of exchanging position 1 > with position 3 in matrix A. > > A = > 9.358*10^-3 -8.165*10^-3 -1.689*10^-8 > -8.165*10^-3 9.358*10^-3 1.854*10^-8 > -1.689*10^-8 1.854*10^-8 9.358*10^-3 > > B = > 9.358*10^-3 1.854*10^-8 -1.689*10^-8 > 1.854*10^-8 9.358*10^-3 -8.165*10^-3 > -1.689*10^-8 -8.165*10^-3 9.358*10^-3 > > The determinants of both matrices are small but equal, so we would expect > any issues arising from the matrix being 'close' to singular to be apparent > in both cases. The table below shows the output from pmvnorm calculated > using the two matrices A and B, and the two different algorithms, Miwa and > GenzBretz using the code below: > > pmvnorm( > mean = rep(0, 3), > lower = rep(-Inf, 3), > upper = rep(0, 3), > sigma = A, > algorithm = 'Miwa' > )[1] > > The results are as expected, except when using matrix A with the Miwa > algorithm. > > Matrix Miwa GenzBrentz > -------------------------------------- > A -10.766 0.041 > B 0.041 0.041 > -------------------------------------- > > Further investigation indicates that it is the values in locations (1,3) > and (3,1) which are causing the issues; any values in the range (5*10^-7, > 5*10^-9) and (-5*10^-9, -5*10^-7) give unusual results. Can anyone help? > > > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/ > posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > [[alternative HTML version deleted]] ______________________________________________ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.