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## code from Ben Goodrich posted here
## https://groups.google.com/forum/#!msg/stan-users/3gDvAs_qwN8/Xpgi2rPlx68J
##
rgbeta <- function(num, shape) {
if (shape == Inf) {
rep(0, num)
} else if (shape > 0) {
-1 + 2 * rbeta(num, shape, shape)
} else if (shape == 0) {
-1 + 2 * rbinom(num, 1, 0.5)
} else {
stop("shape must be non-negative")
}
}
## LKJ
rcorvine <- function(n, eta = 1, cholesky = FALSE, permute = !cholesky) {
alpha <- eta + (n - 2) / 2
L <- matrix(0, n, n)
L[1, 1] <- 1
L[-1, 1] <- partials <- rgbeta(n - 1, alpha)
if (n == 2) {
L[2, 2] <- sqrt(1 - L[2, 1]^2)
if (cholesky) {
return(L)
}
Sigma <- tcrossprod(L)
if (permute) {
ord <- sample(n)
Sigma <- Sigma[ord, ord]
}
return(Sigma)
}
W <- log(1 - partials^2)
for (i in 2:(n - 1)) {
gap <- (i + 1):n
gap1 <- i:(n - 1)
alpha <- alpha - 0.5
partials <- rgbeta(n - i, alpha)
L[i, i] <- exp(0.5 * W[i - 1])
L[gap, i] <- partials * exp(0.5 * W[gap1])
W[gap1] <- W[gap1] + log(1 - partials^2)
}
L[n, n] <- exp(0.5 * W[n - 1])
if (cholesky) {
return(L)
}
Sigma <- tcrossprod(L)
if (permute) {
ord <- sample(n)
Sigma <- Sigma[ord, ord]
}
return(Sigma)
}
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