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Annotation of OpenXM/src/R/r-packages/hgm/man/hgm.cwishart.Rd, Revision 1.3

1.3     ! takayama    1: % $OpenXM: OpenXM/src/R/r-packages/hgm/man/hgm.cwishart.Rd,v 1.2 2013/03/01 05:27:08 takayama Exp $
1.1       takayama    2: \name{hgm.cwishart}
                      3: \alias{hgm.cwishart}
                      4: %- Also NEED an '\alias' for EACH other topic documented here.
                      5: \title{
                      6:     The function hgm.cwishart evaluates the cumulative distribution function
                      7:   of random wishart matrix.
                      8: }
                      9: \description{
                     10:     The function hgm.cwishart evaluates the cumulative distribution function
                     11:   of random wishart matrix of size m times m.
                     12: }
                     13: \usage{
1.3     ! takayama   14: hgm.cwishart(m,n,beta,x0,approxdeg,h,dp,x,mode,method,err)
1.1       takayama   15: }
                     16: %- maybe also 'usage' for other objects documented here.
                     17: \arguments{
1.2       takayama   18:   \item{m}{The dimension of the Wishart matrix.}
                     19:   \item{n}{The degree of freedome (a parameter of the Wishart distribution)}
1.3     ! takayama   20:   \item{beta}{The eigenvalues of the inverse of the covariant matrix /2
        !            21: (a parameter of the Wishart distribution).
        !            22:     The beta is equal to inverse(sigma)/2.
1.1       takayama   23:   }
1.2       takayama   24:   \item{x0}{The point to evaluate the matrix hypergeometric series. x0>0}
1.1       takayama   25:   \item{approxdeg}{
1.2       takayama   26:     Zonal polynomials upto the approxdeg are calculated to evaluate
                     27:    values near the origin. A zonal polynomial is determined by a given
                     28:    partition (k1,...,km). We call the sum k1+...+km the degree.
1.1       takayama   29:   }
                     30:   \item{h}{
1.2       takayama   31:    A (small) step size for the Runge-Kutta method. h>0.
1.1       takayama   32:   }
                     33:   \item{dp}{
1.2       takayama   34:     Sampling interval of solutions by the Runge-Kutta method.
                     35:   }
                     36:   \item{x}{
1.3     ! takayama   37:     The second value y[0] of this function is the Prob(L1 < x)
1.2       takayama   38:     where L1 is the first eigenvalue of the Wishart matrix.
1.1       takayama   39:   }
1.3     ! takayama   40:   \item{mode}{
        !            41:     When mode=c(1,0,0), it returns the evaluation
        !            42:     of the matrix hypergeometric series and its derivatives at x0.
        !            43:     When mode=c(1,1,(m^2+1)*p), intermediate values of P(L1 < x) with respect to
        !            44:     p-steps of x are also returned.  Sampling interval is controled by dp.
        !            45:   }
        !            46:   \item{method}{
        !            47:     rk4 is the default value.
        !            48:     When method="a-rk4", the adaptive Runge-Kutta method is used.
        !            49:     Steps are automatically adjusted by err.
        !            50:   }
        !            51:   \item{err}{
        !            52:     When err=c(e1,e2), e1 is the absolute error and e2 is the relative error.
        !            53:     As long as NaN is not returned, it is recommended to set to
        !            54:     err=c(0.0, 1e-10), because initial values are usually very small.
        !            55:   }
1.1       takayama   56: }
                     57: \details{
1.2       takayama   58:   It is evaluated by the Koev-Edelman algorithm when x is near the origin and
                     59:   by the HGM when x is far from the origin.
1.3     ! takayama   60:   We can obtain more accurate result when the variables h is smaller,
        !            61:   x0 is relevant value (not very big, not very small),
1.2       takayama   62:   and the approxdeg is more larger.
1.3     ! takayama   63:   A heuristic method to set parameters x0, h, approxdeg properly
        !            64:   is to make x larger and to check if the y[0] approaches to 1.
1.1       takayama   65: %  \code{\link[RCurl]{postForm}}.
                     66: }
                     67: \value{
1.3     ! takayama   68: The output is x, y[0], ..., y[2^m] in the default mode,
1.2       takayama   69: y[0] is the value of the cumulative distribution
                     70: function P(L1 < x) at x.  y[1],...,y[2^m] are some derivatives.
                     71: See the reference below.
1.1       takayama   72: }
                     73: \references{
1.2       takayama   74: H.Hashiguchi, Y.Numata, N.Takayama, A.Takemura,
                     75: Holonomic gradient method for the distribution function of the largest root of a Wishart matrix
                     76: \url{http://arxiv.org/abs/1201.0472},
1.1       takayama   77: }
                     78: \author{
                     79: Nobuki Takayama
                     80: }
                     81: \note{
                     82: %%  ~~further notes~~
                     83: }
                     84:
                     85: %% ~Make other sections like Warning with \section{Warning }{....} ~
                     86:
                     87: \seealso{
                     88: %%\code{\link{oxm.matrix_r2tfb}}
                     89: }
                     90: \examples{
                     91: ## =====================================================
1.3     ! takayama   92: ## Example 1.
1.1       takayama   93: ## =====================================================
                     94: hgm.cwishart(m=3,n=5,beta=c(1,2,3),x=10)
1.3     ! takayama   95: ## =====================================================
        !            96: ## Example 2.
        !            97: ## =====================================================
        !            98: 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));
        !            99: c<-matrix(b,ncol=16+1,byrow=1);
        !           100: #plot(c)
1.1       takayama  101: }
                    102: % Add one or more standard keywords, see file 'KEYWORDS' in the
                    103: % R documentation directory.
                    104: \keyword{ Cumulative distribution function of random wishart matrix }
                    105: \keyword{ Holonomic gradient method }
                    106: \keyword{ HGM }
                    107: