On 2010-02-15 9:38, vaibhav dua wrote:
Hi Peter,
Thanks for quick reply. Like I said that I'm aware that it needs a vector but I
want to use diagonal matrix.
As you have noted, It could be possible that rlaplace reading dispDiag as a
vector and not matrix like c(3,0,0,0,.20,0,0,0,.1) so I thought to change the
code little bit:
dispersion = c(3,.20,.10)
dispDiag = diag(dispersion)
location = c(0,0,0)
output = (rlaplace(3, location, as.matrix(dispDiag)))
but still get the same output.
I want to draw random deviates from multivariate laplace distribution. Do you
think rlaplace in VGAM can help?
Victor
You can't just wish away the requirement that 's' be a vector
by telling rlaplace that you're giving it a matrix. It knows
anyway; your as.matrix() won't do anything since dispDiag is
already a matrix.
More importantly: As far as I can see, neither rmutil nor VGAM
provide functions for a *multivariate* Laplace distribution.
I don't know of any package that does - so you'll have to code
your own, I suppose.
Here's a reference:
S Kotz, T Kozubowski, K Podgorski
The Laplace Distribution and Generalizations (Birkhauser 2001)
This link might be of some use:
http://sci.tech-archive.net/Archive/sci.stat.math/2005-07/msg00229.html
-Peter Ehlers
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