Nothing
#####################################################################################
## Author: Daniel Sabanes Bove [daniel *.* sabanesbove *a*t* ifspm *.* uzh *.* ch]
## Project: Bayesian FPs
##
## Time-stamp: <[rmvt.R] by DSB Fre 02/10/2009 10:49 (CEST)>
##
## Description:
## Helper function for sampling from multivariate normal distribution.
##
## History:
## 04/07/2008 copy from thesis function collection.
## 02/10/2009 don't rely on rmvnorm package
#####################################################################################
rmvt <- function (n, sigma = diag (2), mu = rep (0, 2), df = 1)
{
## simulate multivariate normal, using the symmetric root of sigma
ev <- eigen(sigma, symmetric = TRUE)
if (! all(ev$values >= -sqrt(.Machine$double.eps) * abs(ev$values[1]))) {
warning("sigma is numerically not positive definite")
}
ret <- ev$vectors %*% diag(sqrt(ev$values), length(ev$values)) %*% t(ev$vectors)
ret <- matrix(rnorm(n * ncol(sigma)), nrow = n) %*% ret
## then go to multivariate Student
ret <- ret / sqrt(rchisq(n, df) / df)
## make the location shift
ret <- sweep (ret, 2, mu, "+")
## return the samples matrix
ret
}
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