version 1.3, 2013/03/08 07:32:28 |
version 1.9, 2015/03/26 11:54:13 |
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% $OpenXM: OpenXM/src/R/r-packages/hgm/man/hgm.cwishart.Rd,v 1.2 2013/03/01 05:27:08 takayama Exp $ |
% $OpenXM: OpenXM/src/R/r-packages/hgm/man/hgm.cwishart.Rd,v 1.8 2015/03/22 00:27:51 takayama Exp $ |
\name{hgm.cwishart} |
\name{hgm.pwishart} |
\alias{hgm.cwishart} |
\alias{hgm.pwishart} |
%- Also NEED an '\alias' for EACH other topic documented here. |
%- Also NEED an '\alias' for EACH other topic documented here. |
\title{ |
\title{ |
The function hgm.cwishart evaluates the cumulative distribution function |
The function hgm.pwishart evaluates the cumulative distribution function |
of random wishart matrix. |
of random wishart matrices. |
} |
} |
\description{ |
\description{ |
The function hgm.cwishart evaluates the cumulative distribution function |
The function hgm.pwishart evaluates the cumulative distribution function |
of random wishart matrix of size m times m. |
of random wishart matrices of size m times m. |
} |
} |
\usage{ |
\usage{ |
hgm.cwishart(m,n,beta,x0,approxdeg,h,dp,x,mode,method,err) |
hgm.pwishart(m,n,beta,q0,approxdeg,h,dp,q,mode,method, |
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err,automatic,assigned_series_error,verbose) |
} |
} |
%- maybe also 'usage' for other objects documented here. |
%- maybe also 'usage' for other objects documented here. |
\arguments{ |
\arguments{ |
Line 21 hgm.cwishart(m,n,beta,x0,approxdeg,h,dp,x,mode,method, |
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Line 22 hgm.cwishart(m,n,beta,x0,approxdeg,h,dp,x,mode,method, |
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(a parameter of the Wishart distribution). |
(a parameter of the Wishart distribution). |
The beta is equal to inverse(sigma)/2. |
The beta is equal to inverse(sigma)/2. |
} |
} |
\item{x0}{The point to evaluate the matrix hypergeometric series. x0>0} |
\item{q0}{The point to evaluate the matrix hypergeometric series. q0>0} |
\item{approxdeg}{ |
\item{approxdeg}{ |
Zonal polynomials upto the approxdeg are calculated to evaluate |
Zonal polynomials upto the approxdeg are calculated to evaluate |
values near the origin. A zonal polynomial is determined by a given |
values near the origin. A zonal polynomial is determined by a given |
Line 33 hgm.cwishart(m,n,beta,x0,approxdeg,h,dp,x,mode,method, |
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Line 34 hgm.cwishart(m,n,beta,x0,approxdeg,h,dp,x,mode,method, |
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\item{dp}{ |
\item{dp}{ |
Sampling interval of solutions by the Runge-Kutta method. |
Sampling interval of solutions by the Runge-Kutta method. |
} |
} |
\item{x}{ |
\item{q}{ |
The second value y[0] of this function is the Prob(L1 < x) |
The second value y[0] of this function is the Prob(L1 < q) |
where L1 is the first eigenvalue of the Wishart matrix. |
where L1 is the first eigenvalue of the Wishart matrix. |
} |
} |
\item{mode}{ |
\item{mode}{ |
Line 44 hgm.cwishart(m,n,beta,x0,approxdeg,h,dp,x,mode,method, |
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Line 45 hgm.cwishart(m,n,beta,x0,approxdeg,h,dp,x,mode,method, |
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p-steps of x are also returned. Sampling interval is controled by dp. |
p-steps of x are also returned. Sampling interval is controled by dp. |
} |
} |
\item{method}{ |
\item{method}{ |
rk4 is the default value. |
a-rk4 is the default value. |
When method="a-rk4", the adaptive Runge-Kutta method is used. |
When method="a-rk4", the adaptive Runge-Kutta method is used. |
Steps are automatically adjusted by err. |
Steps are automatically adjusted by err. |
} |
} |
Line 53 hgm.cwishart(m,n,beta,x0,approxdeg,h,dp,x,mode,method, |
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Line 54 hgm.cwishart(m,n,beta,x0,approxdeg,h,dp,x,mode,method, |
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As long as NaN is not returned, it is recommended to set to |
As long as NaN is not returned, it is recommended to set to |
err=c(0.0, 1e-10), because initial values are usually very small. |
err=c(0.0, 1e-10), because initial values are usually very small. |
} |
} |
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\item{automatic}{ |
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automatic=1 is the default value. |
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If it is 1, the degree of the series approximation will be increased until |
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|(F(i)-F(i-1))/F(i-1)| < assigned_series_error where |
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F(i) is the degree i approximation of the hypergeometric series |
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with matrix argument. |
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Step sizes for the Runge-Kutta method are also set automatically from |
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the assigned_series_error if it is 1. |
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} |
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\item{assigned_series_error}{ |
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assigned_series_error=0.00001 is the default value. |
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} |
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\item{verbose}{ |
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verbose=0 is the default value. |
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If it is 1, then steps of automatic degree updates and several parameters |
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are output to stdout and stderr. |
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} |
} |
} |
\details{ |
\details{ |
It is evaluated by the Koev-Edelman algorithm when x is near the origin and |
It is evaluated by the Koev-Edelman algorithm when x is near the origin and |
Line 72 See the reference below. |
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Line 90 See the reference below. |
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} |
} |
\references{ |
\references{ |
H.Hashiguchi, Y.Numata, N.Takayama, A.Takemura, |
H.Hashiguchi, Y.Numata, N.Takayama, A.Takemura, |
Holonomic gradient method for the distribution function of the largest root of a Wishart matrix |
Holonomic gradient method for the distribution function of the largest root of a Wishart matrix, |
\url{http://arxiv.org/abs/1201.0472}, |
Journal of Multivariate Analysis, 117, (2013) 296-312, |
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\url{http://dx.doi.org/10.1016/j.jmva.2013.03.011}, |
} |
} |
\author{ |
\author{ |
Nobuki Takayama |
Nobuki Takayama |
} |
} |
\note{ |
\note{ |
%% ~~further notes~~ |
This function does not work well under the following cases: |
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1. The beta (the set of eigenvalues) |
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is degenerated or is almost degenerated. |
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2. The beta is very skew, in other words, there is a big eigenvalue |
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and there is also a small eigenvalue. |
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The error control is done by a heuristic method. |
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The obtained value is not validated automatically. |
} |
} |
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%% ~Make other sections like Warning with \section{Warning }{....} ~ |
%% ~Make other sections like Warning with \section{Warning }{....} ~ |
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## ===================================================== |
## ===================================================== |
## Example 1. |
## Example 1. |
## ===================================================== |
## ===================================================== |
hgm.cwishart(m=3,n=5,beta=c(1,2,3),x=10) |
hgm.pwishart(m=3,n=5,beta=c(1,2,3),q=10) |
## ===================================================== |
## ===================================================== |
## Example 2. |
## Example 2. |
## ===================================================== |
## ===================================================== |
b<-hgm.cwishart(m=4,n=10,beta=c(1,2,3,4),x0=1,x=10,approxdeg=20,mode=c(1,1,(16+1)*100)); |
b<-hgm.pwishart(m=4,n=10,beta=c(1,2,3,4),q0=1,q=10,approxdeg=20,mode=c(1,1,(16+1)*100)); |
c<-matrix(b,ncol=16+1,byrow=1); |
c<-matrix(b,ncol=16+1,byrow=1); |
#plot(c) |
#plot(c) |
} |
} |