Autoregressive.Multivariate.Normal.Distribution: Create a multivariate normal distribution with a Continuous...

In tfojo1/distributions:

Create a multivariate normal distribution with a Continuous Autoregressive 1 (CAR-1) correlation structure

Description

Creates a distribution where all the variables, after arbitrary transformations, follow a normal distribution with a Continuous Autoregressive 1 (CAR-1) correlation structure

Usage

Autoregressive.Multivariate.Normal.Distribution(
  rho,
  times,
  mu = 0,
  sds = 1,
  lower = -Inf,
  upper = Inf,
  var.names = NULL,
  transformations = NULL
)

Arguments

rho	The autoregressive correlation coefficient
times	The times for each observation in the distribution. The correlation between any two observations at times t1 and t2 is rho^(abs(t1-t2))
mu, sds	The mean and standard deviation vectors. If given a scalar value, assumes that the mean/sd is the same for every variable in the distribution
lower	The upper and lower bounds for each variable (on the original scale, NOT the transformed scale). If only one value is given, assumed to apply to all variables in the distribution
upper	The upper and lower bounds for each variable (on the original scale, NOT the transformed scale). If only one value is given, assumed to apply to all variables in the distribution
var.names	The names of the variables in the distribution. If NULL, uses the names of mu, the row names of sigma, or the column names of sigma, in that order
transformations	Objects of class transformation to be applied to each variable. Can be either an object of class transformation, the character name of a defined transformation, or a list of transformation objects. If only one transformation is supplied, assumed to apply to all variables. If this is a named list, any variables missing transformation are assmed to not be transformed

See Also

Other Distribution Constructors: Bernoulli.Distribution(), Beta.Distribution(), Binomial.Distribution(), Canonical.Mixture.Distribution(), Compound.Symmetry.Multivariate.Normal.Distribution(), Constant.Distribution(), Discrete.Set.Distribution(), Empiric.Distribution(), Logitnormal.Distribution(), Logitnormal.Mixture(), Logituniform.Distribution(), Lognormal.Distribution(), Lognormal.Mixture(), Loguniform.Distribution(), Multivariate.Correlated.Uniform.Distribution(), Multivariate.Logitnormal.Distribution(), Multivariate.Lognormal.Distribution(), Multivariate.Normal.Distribution(), Normal.Distribution(), Normal.Mixture(), Smoothed.Empiric.Distribution(), Transformed.Multivariate.Normal.Distribution(), Transformed.Normal.Distribution(), Transformed.Normal.Mixture(), Uniform.Distribution(), Univariate.Canonical.Distribution(), join.distributions()

tfojo1/distributions documentation built on July 27, 2024, 3:29 p.m.