rvlb_sm: Sample from the vector 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 vector Langevin-Bingham on the Stiefel manifold.

Usage

rvlb_sm(num, mA, vc, vx)

Arguments

num	number of observations or sample size.
mA	the matrix A which is symmetric ip*ip matrix.
vc	the vector c with dimension ip.
vx	the vector x, the initial value.

Details

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

f(X) \propto \mathrm{etr}\{ x' A x + c' x \}

where x satisfies x'x = 1, and A is a symmetric matrix.

Value

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

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.

Author(s)

Yukai Yang, [e-mail]

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