Nothing
RcppKmomentESN = function(k,a,b,mu,Sigma,lambda,tau)
{
p = length(mu)
#tau goes to infinite
tautil<-tau/sqrt(1+sum(lambda^2))
if(tautil< -36){
#print("normal aproximation")
Delta = sqrtm(Sigma)%*%lambda/sqrt(1+sum(lambda^2))
return(RcppKmomentN(k = k,a = a, b = b,mu = mu - tautil*Delta,Sigma = Sigma - Delta%*%t(Delta)))
}
SS = sqrtm(Sigma)
varpsi = lambda/sqrt(1+sum(lambda^2))
Omega = cbind(rbind(Sigma,-t(varpsi)%*%SS),rbind(-SS%*%varpsi,1))
rownames(Omega) <- colnames(Omega)
return(RcppKmomentN(c(k,0),a = c(a,-10^7),b = c(b,tautil),mu = c(mu,0),Sigma = Omega)[,-(p+1)])
}
# RcppKmomentESN = function(k,a,b,mu,Sigma,lambda,tau)
# {
# k = as.matrix(k)
# a = as.matrix(a)
# b = as.matrix(b)
# mu = as.matrix(mu)
# Sigma = as.matrix(Sigma)
#
# #tau goes to infinite
# tautil<-tau/sqrt(1+sum(lambda^2))
# if(tautil< -36){
# #print("normal aproximation")
# Delta = sqrtm(Sigma)%*%lambda/sqrt(1+sum(lambda^2))
#
# return(RcppKmomentN(k = k,a = a, b = b,mu = mu - tautil*Delta,Sigma = Sigma - Delta%*%t(Delta)))
# }
# p = length(mu)
# SS = sqrtm(Sigma)
# tautil = tau/sqrt(1+sum(lambda^2))
# varpsi = lambda/sqrt(1+sum(lambda^2))
# Omega = cbind(rbind(Sigma,-t(varpsi)%*%SS),rbind(-SS%*%varpsi,1))
# rownames(Omega) <- colnames(Omega)
# return(RcppKmomentN(rbind(k,0),a = rbind(a,-10^7),b = rbind(b,tautil),mu = rbind(mu,0),Sigma = Omega)[,-(p+1)])
# }
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