# Mit: Mixture of Student-t Distributions In AdMit: Adaptive Mixture of Student-t Distributions

## Description

Density function or random generation for an adaptive mixture of Student-t distributions

## Usage

 1 2 dMit(theta, mit = list(), log = TRUE) rMit(N = 1, mit = list())

## Arguments

 theta matrix (of size Nxd, where N,d>=1) of real values. mit list containing information on the mixture approximation (see *Details*). log logical; if log = TRUE, returns (natural) logarithm values of the density. Default: log = TRUE. N number of draws (positive integer number).

## Details

dMit returns the density values while rMit generates draws from a mixture of Student-t distributions.

The argument mit is a list containing information on the adaptive mixture of Student-t distributions. The following components must be provided:

p

vector (of length H) of mixture probabilities.

mu

matrix (of size Hxd) containing the vectors of modes (in row) of the mixture components.

Sigma

matrix (of size Hxd*d) containing the scale matrices (in row) of the mixture components.

df

degrees of freedom parameter of the Student-t components (integer number not smaller than one).

where H (>=1) is the number of components and d (>=1) is the dimension of the mixture approximation. Typically, mit is estimated by the function AdMit. If the mit = list(), a Student-t distribution located at rep(0,d) with scale matrix diag(d) and one degree of freedom parameter is used.

## Value

Vector (of length N of density values, or matrix (of size Nxd) of random draws, where d (>=1) is the dimension of the mixture approximation.

## Note

Further details and examples of the R package AdMit can be found in Ardia, Hoogerheide, van Dijk (2009a,b). See also the package vignette by typing vignette("AdMit").

David Ardia

## References

Ardia, D., Hoogerheide, L.F., van Dijk, H.K. (2009a). AdMit: Adaptive Mixture of Student-t Distributions. The R Journal 1(1), pp.25-30. https://journal.R-project.org/archive/2009-1/

Ardia, D., Hoogerheide, L.F., van Dijk, H.K. (2009b). Adaptive Mixture of Student-t Distributions as a Flexible Candidate Distribution for Efficient Simulation: The R Package AdMit. Journal of Statistical Software 29(3), pp.1-32. doi: 10.18637/jss.v029.i03

AdMit for fitting an adaptive mixture of Student-t distributions to a given function KERNEL, AdMitIS for importance sampling using an adaptive mixture of Student-t distributions as the importance density, AdMitMH for the independence chain Metropolis-Hastings using an adaptive mixture of Student-t distributions as the candidate density.

## Examples

 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 ## NB : Low number of draws for speedup. Consider using more draws! ## One dimensional two components mixture of Student-t distributions mit <- list(p = c(0.5, 0.5), mu = matrix(c(-2.0, 0.5), 2, 1, byrow = TRUE), Sigma = matrix(0.1, 2), df = 10) ## Generate draws from the mixture hist(rMit(1e4, mit = mit), nclass = 100, freq = FALSE) x <- seq(from = -5.0, to = 5.0, by = 0.01) ## Add the density to the histogram lines(x, dMit(x, mit = mit, log = FALSE), col = "red", lwd = 2) ## Two dimensional (one component mixture) Student-t distribution mit <- list(p = 1, mu = matrix(0.0, 1.0, 2.0), Sigma = matrix(c(1.0, 0.0, 0.0, 1.0), 1, 4), df = 10) ## Function used to plot the mixture in two dimensions dMitPlot <- function(x1, x2, mit = mit) { dMit(cbind(x1, x2), mit = mit, log = FALSE) } x1 <- x2 <- seq(from = -10.0, to = 10.0, by = 0.1) thexlim <- theylim <- range(x1) z <- outer(x1, x2, FUN = dMitPlot, mit = mit) ## Contour plot of the mixture contour(x1, x2, z, nlevel = 20, las = 1, col = rainbow(20), xlim = thexlim, ylim = theylim) par(new = TRUE) ## Generate draws from the mixture plot(rMit(1e4, mit = mit), pch = 20, cex = 0.3, xlim = thexlim, ylim = theylim, col = "red", las = 1)

AdMit documentation built on May 30, 2017, 7:13 a.m.