Hi all.
I'm trying to numerically invert the characteristic function
of a quadratic form following Imhof's (1961, Biometrika 48)
procedure.
The parameters are:
lambda=c(.6,.3,.1)
h=c(2,2,2)
sigma=c(0,0,0)
q=3
I've implemented Imhof's procedure two ways that, for me,
should give the same answer:
#more legible
integral1 = function(u) {
o=(1/2)*sum(h*atan(lambda*u)+sigma^2*lambda*u/(1+lambda^2*u^2)) - q*u/2
rho=prod((1+lambda^2*u^2)^(h/4))*exp(
(1/2)*sum((sigma*lambda*u)^2/(1+lambda^2*u^2)) )
integrand = sin(o)/(u*rho)
}
#same as above
integral2= function(u) {
((1/2)*sum(h*atan(lambda*u)+sigma^2*lambda*u/(1+lambda^2*u^2)) - q*u/2)/
(u*(prod((1+lambda^2*u^2)^(h/4))*
exp( (1/2)*sum((sigma*lambda*u)^2/(1+lambda^2*u^2)) )))
}
The following should be near 0.18. However, nor the answers are near this
value neither they agree each other!
> 1/2+(1/pi)*integrate(integral1,0,Inf)$value
[1] 1.022537
> 1/2+(1/pi)*integrate(integral2,0,Inf)$value
[1] 1.442720
What's happening? Is this a bug or OS specific? Shouldn't they give the
same answer? Why do I get results so different from 0.18? In time:
the procedure works fine for q=.2.
I'm running R 2.4.1 in a PC with Windows XP 32bits. Other ways (in R) to
find the distribution of general quadratic forms are welcome.
Thanks in advance.
Rogerio.
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