library(sn)
library(robustbase)
library(mnormt)
get.k.mvn <- function(x, robAlpha){
p = mvn.params2p(params=params)
Sigma = covMcd(x)$cov
k = p/2*log(2*pi)+log(det(Sigma))+qchisq(1-robAlpha,df=p)
return(k)
}
mvn.dev <- function(x, params){
p = mvn.params2p(params=params)
dp = mvn.params2dp(params)
detSigma = 1/prod(diag(dp$Rinv))^2
y = (x-matrix(dp$mu,nr=nrow(x),nc=ncol(x),byrow=T))%*%dp$Rinv
return(p/2*log(2*pi) + log(detSigma) + apply(y*y,1,sum))
}
# mvn.dev.grad <- function(x, params, robAlpha, robFuncType){
# p = mvn.params2p(params=params)
# params = c(params, rep(0,p), Inf) #Append on alpha and nu
# grad = robust.mvst.dev.grad(x=x, params=params, robAlpha=robAlpha, robFuncType=robFuncType)
# return( grad[1:(p+p*(p+1)/2)] )
# }
mvn.start <- function(data){
if(is.null(dim(data)))
data = matrix(data,ncol=1)
mu=colMeans(data)
Sigma=covMcd(data)$cov
R = chol(Sigma)
Rinv = solve(R)
return( mvn.dp2params(mu, Rinv ) )
}
mvn.params2p <- function(params){
#length(params)=p(p+1)/2+p, use quadratic formula to find p
p = (-3/2+sqrt(9/4+4*1/2*length(params)))
if(p != floor(p))
stop("p is not an integer! params is not of the right length")
return(p)
}
mvn.params2dp <- function(params){
p = mvn.params2p(params)
Rinv = matrix(0, nr=p, nc=p)
Rinv[upper.tri(Rinv,diag=T)] = params[1:(p*(p+1)/2) + p]
return(list( mu=params[1:p]
,Rinv=Rinv ) )
}
mvn.dp2params <- function(mu, Rinv){
p = length(mu)
if(any(dim(Rinv)!=p))
stop("Rinv must be pxp!")
return( c(mu, Rinv[upper.tri(Rinv,diag=T)] ) )
}
mvn.sim <- function(n, dp){
mu = dp$mu
Rinv = dp$Rinv
Sigma = solve(Rinv%*%t(Rinv))
rmnorm(n=n, mean=mu, varcov=Sigma)
}
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