rvlb_sm {SMFilter} | R Documentation |
This function draws a sample from the vector Langevin-Bingham on the Stiefel manifold.
rvlb_sm(num, mA, vc, vx)
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. |
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.
an array containing a sample of draws from the vector Langevin-Bingham on the Stiefel manifold.
Hoff, P. D. (2009) "Simulation of the Matrix Bingham—von Mises—Fisher Distribution, With Applications to Multivariate and Relational Data", Journal of Computational and Graphical Statistics, Vol. 18, pp. 438-456.
Yukai Yang, yukai.yang@statistik.uu.se