Annotation of OpenXM/src/R/r-packages/hgm/man/hgm.cwishart.Rd, Revision 1.12
1.12 ! takayama 1: % $OpenXM: OpenXM/src/R/r-packages/hgm/man/hgm.cwishart.Rd,v 1.11 2016/02/13 22:56:50 takayama Exp $
1.4 takayama 2: \name{hgm.pwishart}
3: \alias{hgm.pwishart}
1.1 takayama 4: %- Also NEED an '\alias' for EACH other topic documented here.
5: \title{
1.4 takayama 6: The function hgm.pwishart evaluates the cumulative distribution function
1.7 takayama 7: of random wishart matrices.
1.1 takayama 8: }
9: \description{
1.4 takayama 10: The function hgm.pwishart evaluates the cumulative distribution function
1.7 takayama 11: of random wishart matrices of size m times m.
1.1 takayama 12: }
13: \usage{
1.9 takayama 14: hgm.pwishart(m,n,beta,q0,approxdeg,h,dp,q,mode,method,
1.12 ! takayama 15: err,automatic,assigned_series_error,verbose,autoplot)
1.1 takayama 16: }
17: %- maybe also 'usage' for other objects documented here.
18: \arguments{
1.2 takayama 19: \item{m}{The dimension of the Wishart matrix.}
20: \item{n}{The degree of freedome (a parameter of the Wishart distribution)}
1.3 takayama 21: \item{beta}{The eigenvalues of the inverse of the covariant matrix /2
22: (a parameter of the Wishart distribution).
23: The beta is equal to inverse(sigma)/2.
1.1 takayama 24: }
1.4 takayama 25: \item{q0}{The point to evaluate the matrix hypergeometric series. q0>0}
1.1 takayama 26: \item{approxdeg}{
1.2 takayama 27: Zonal polynomials upto the approxdeg are calculated to evaluate
28: values near the origin. A zonal polynomial is determined by a given
29: partition (k1,...,km). We call the sum k1+...+km the degree.
1.1 takayama 30: }
31: \item{h}{
1.2 takayama 32: A (small) step size for the Runge-Kutta method. h>0.
1.1 takayama 33: }
34: \item{dp}{
1.2 takayama 35: Sampling interval of solutions by the Runge-Kutta method.
1.12 ! takayama 36: When autoplot=1, it is automatically set.
1.2 takayama 37: }
1.4 takayama 38: \item{q}{
39: The second value y[0] of this function is the Prob(L1 < q)
1.2 takayama 40: where L1 is the first eigenvalue of the Wishart matrix.
1.1 takayama 41: }
1.3 takayama 42: \item{mode}{
43: When mode=c(1,0,0), it returns the evaluation
1.11 takayama 44: of the matrix hypergeometric series and its derivatives at q0.
1.3 takayama 45: When mode=c(1,1,(m^2+1)*p), intermediate values of P(L1 < x) with respect to
46: p-steps of x are also returned. Sampling interval is controled by dp.
1.12 ! takayama 47: When autoplot=1, it is automatically set.
1.3 takayama 48: }
49: \item{method}{
1.5 takayama 50: a-rk4 is the default value.
1.3 takayama 51: When method="a-rk4", the adaptive Runge-Kutta method is used.
52: Steps are automatically adjusted by err.
53: }
54: \item{err}{
55: When err=c(e1,e2), e1 is the absolute error and e2 is the relative error.
56: As long as NaN is not returned, it is recommended to set to
57: err=c(0.0, 1e-10), because initial values are usually very small.
58: }
1.5 takayama 59: \item{automatic}{
60: automatic=1 is the default value.
61: If it is 1, the degree of the series approximation will be increased until
62: |(F(i)-F(i-1))/F(i-1)| < assigned_series_error where
63: F(i) is the degree i approximation of the hypergeometric series
64: with matrix argument.
1.6 takayama 65: Step sizes for the Runge-Kutta method are also set automatically from
66: the assigned_series_error if it is 1.
1.5 takayama 67: }
68: \item{assigned_series_error}{
69: assigned_series_error=0.00001 is the default value.
70: }
71: \item{verbose}{
72: verbose=0 is the default value.
73: If it is 1, then steps of automatic degree updates and several parameters
74: are output to stdout and stderr.
75: }
1.12 ! takayama 76: \item{autoplot}{
! 77: autoplot=0 is the default value.
! 78: If it is 1, then it outputs an input for plot.
! 79: When ans is the output, ans[1,] is c(q,prob at q,...), ans[2,] is c(q0,prob at q0,...), and ans[3,] is c(q0+q/100,prob at q/100,...), ...
! 80: }
1.1 takayama 81: }
82: \details{
1.2 takayama 83: It is evaluated by the Koev-Edelman algorithm when x is near the origin and
84: by the HGM when x is far from the origin.
1.3 takayama 85: We can obtain more accurate result when the variables h is smaller,
1.11 takayama 86: q0 is relevant value (not very big, not very small),
1.2 takayama 87: and the approxdeg is more larger.
1.11 takayama 88: A heuristic method to set parameters q0, h, approxdeg properly
1.3 takayama 89: is to make x larger and to check if the y[0] approaches to 1.
1.1 takayama 90: % \code{\link[RCurl]{postForm}}.
91: }
92: \value{
1.3 takayama 93: The output is x, y[0], ..., y[2^m] in the default mode,
1.2 takayama 94: y[0] is the value of the cumulative distribution
95: function P(L1 < x) at x. y[1],...,y[2^m] are some derivatives.
96: See the reference below.
1.1 takayama 97: }
98: \references{
1.2 takayama 99: H.Hashiguchi, Y.Numata, N.Takayama, A.Takemura,
1.6 takayama 100: Holonomic gradient method for the distribution function of the largest root of a Wishart matrix,
101: Journal of Multivariate Analysis, 117, (2013) 296-312,
102: \url{http://dx.doi.org/10.1016/j.jmva.2013.03.011},
1.1 takayama 103: }
104: \author{
105: Nobuki Takayama
106: }
107: \note{
1.7 takayama 108: This function does not work well under the following cases:
109: 1. The beta (the set of eigenvalues)
110: is degenerated or is almost degenerated.
111: 2. The beta is very skew, in other words, there is a big eigenvalue
112: and there is also a small eigenvalue.
113: The error control is done by a heuristic method.
114: The obtained value is not validated automatically.
1.1 takayama 115: }
116:
117: %% ~Make other sections like Warning with \section{Warning }{....} ~
118:
1.10 takayama 119: %\seealso{
120: %%%\code{\link{oxm.matrix_r2tfb}}
121: %}
1.1 takayama 122: \examples{
123: ## =====================================================
1.3 takayama 124: ## Example 1.
1.1 takayama 125: ## =====================================================
1.4 takayama 126: hgm.pwishart(m=3,n=5,beta=c(1,2,3),q=10)
1.3 takayama 127: ## =====================================================
128: ## Example 2.
129: ## =====================================================
1.4 takayama 130: 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));
1.3 takayama 131: c<-matrix(b,ncol=16+1,byrow=1);
132: #plot(c)
1.12 ! takayama 133: ## =====================================================
! 134: ## Example 3.
! 135: ## =====================================================
! 136: c<-hgm.pwishart(m=4,n=10,beta=c(1,2,3,4),q0=1,q=10,approxdeg=20,autoplot=1);
! 137: #plot(c)
1.1 takayama 138: }
139: % Add one or more standard keywords, see file 'KEYWORDS' in the
140: % R documentation directory.
141: \keyword{ Cumulative distribution function of random wishart matrix }
142: \keyword{ Holonomic gradient method }
143: \keyword{ HGM }
144:
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