rmLB_sm: Sample from the matrix Langevin-Bingham on the Stiefel...

In SMFilter: Filtering Algorithms for the State Space Models on the Stiefel Manifold

Description

This function draws a sample from the matrix Langevin-Bingham on the Stiefel manifold.

Usage

rmLB_sm(num, mJ, mH, mC, mX, ir)

Arguments

num	number of observations or sample size.
mJ	symmetric ip*ip matrix
mH	symmetric ir*ir matrix
mC	ip*ir matrix
mX	ip*ir matrix, the initial value
ir	ir

Details

The matrix Langevin-Bingham distribution on the Stiefel manifold has the density kernel:

f(X) \propto \mathrm{etr}\{ H X' J X + C' X \}

where X satisfies X'X = I_r, and H and J are symmetric matrices.

Value

an array containing a sample of draws from the matrix Langevin-Bingham on the Stiefel manifold.

Author(s)

Yukai Yang, [e-mail]

#' @section References: Hoff, P. D. (2009) "Simulation of the Matrix Bingham<e2><80><94>von Mises<e2><80><94>Fisher Distribution, With Applications to Multivariate and Relational Data", Journal of Computational and Graphical Statistics, Vol. 18, pp. 438-456.

SMFilter documentation built on May 1, 2019, 8:01 p.m.