drayl3D: Three dimensional Rayleigh density by series expansion

In DRAYL: Computation of Rayleigh Densities of Arbitrary Dimension

Description

Returns a 3D Rayleigh density for arbitrary covariance values. The resulting function can then be evaluated at arbitrary points.

Usage

drayl3D(dK,Ccomp,lim)

Arguments

dK	Determinant of the covariance matrix.
Ccomp	"Compressed" cofactor matrix, leaving out zero value entries.
lim	Number of series terms.

Value

The 3D Rayleigh density for the compressed cofactor matrix Ccomp of the covariance matrix. The function can then be evaluated for 3-dimensional vectors r.

Examples

library("RConics")

# Matrix
K3 = matrix(0,nrow = 6,ncol = 6)
sigma3 = sqrt(c(0.5,1,1.5))
diag(K3) = c(0.5,0.5,1,1,1.5,1.5)

# rho_12 rho_13 rho_23
rho3<-c(0.9,0.8,0.7)

K3[1,3]=K3[3,1]=K3[2,4]=K3[4,2]=sigma3[1]*sigma3[2]*rho3[1]
K3[1,5]=K3[5,1]=K3[2,6]=K3[6,2]=sigma3[1]*sigma3[3]*rho3[2]
K3[3,5]=K3[5,3]=K3[4,6]=K3[6,4]=sigma3[2]*sigma3[3]*rho3[3]


C3=adjoint(K3)
n = nrow(K3)/2
Ccomp3<-C3[seq(1,(2*n-1),2),][,seq(1,(2*n-1),2)]
dK3<-det(K3)


pdf3D<-drayl3D(dK = dK3, Ccomp = Ccomp3, lim = 3)

pdf3D(rep(1,3))

DRAYL documentation built on Aug. 21, 2019, 9:05 a.m.