On 09 Oct 2014, at 18:43 , John Hodgson <j...@formby.plus.com> wrote:
> I have tried to generate multivariate normal samples with the following means > and co-variances > > > mu > [1] 1.4696642 6.3169666 -3.8702044 0.8411024 -2.6525455 6.1894152 > > Sigma > [,1] [,2] [,3] [,4] [,5] [,6] > [1,] 0.00015768570 0.002258112 -0.0007021312 0.007184825 -0.00009748966 > -0.2297289 > [2,] 0.00225811184 0.456999600 -0.5582839996 -1.296776834 0.97284350454 > -5.1210395 > [3,] -0.00070213121 -0.558284000 1.2288752207 -0.333759058 -2.54049486833 > 4.5709810 > [4,] 0.00718482510 -1.296776834 -0.3337590577 3443.775312311 0.25065256727 > -11.5361060 > [5,] -0.00009748966 0.972843505 -2.5404948683 0.250652567 6.42422097236 > -15.2357478 > [6,] -0.22972890073 -5.121039455 4.5709810480 -11.536106031 -15.23574783025 > 422.4494214 > > > But get the following error message > > > mvrnorm(n=1,mu=mu,Sigma=Sigma) > Error in drop(mu) + eS$vectors %*% diag(sqrt(pmax(ev, 0)), p) %*% t(X) : > non-conformable arrays > > I can see that the values in Sigma are extremely variable in magnitude, but > the matrix is not singular, > and the error message does not seem to point in this direction. > > Can anyone see what I'm missing, or suggest a line of attack? Well, you could set options(error=recover) and have a look the components of the failing expression. For a workaround, I'd try something like generating variates from the correlation matrix and scaling by the SD. Given that the diagonal elements vary by a factor of ~5e-8, it is actually surprising that there is no protests about hitting the tolerance of 1e-6, but that only kicks in when checking for _negative_ eigenvalues. I can't seem to reproduce this, so you might need to state your R version etc. and provide some reproducible code. - Peter D. > > Thanks > > John Hodgson > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. -- Peter Dalgaard, Professor, Center for Statistics, Copenhagen Business School Solbjerg Plads 3, 2000 Frederiksberg, Denmark Phone: (+45)38153501 Email: pd....@cbs.dk Priv: pda...@gmail.com ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
