prepare_em takes a two-column matrix whose rows form iid samples from a bivariate chi-bar-squared distribution and prepares the data used in maximum likelihood estimation.

prepare_em(d, m_samp)

Arguments

d

the dimension of the bivariate chi-bar squared distribution.

m_samp

two-column matrix whose rows from iid samples from a bivariate chi-bar-squared distribution.

Value

The output of prepare_em is a list of four elements:

  • n: the number of overall sample points (including those in primal or polar cone)

  • prop_prim: proportion of points in primal cone

  • prop_pol: proportion of points

  • dens: the density values of the effective sample points (neither in primal nor polar cone); that is, dens is a (d-1) row matrix such that the kth row contains the products of the density values of the chi_k^2 and chi_(d-k)^2 distributions evaluated in the effective sample points; the row-form of the matrix is more convenient for the computations

See also

rbichibarsq, circ_rbichibarsq, rbichibarsq_polyh, loglike_ivols, estim_em

Package: conivol

Examples

D <- c(5,5) alpha <- c(pi/3,pi/4) d <- sum(D) N <- 10^5 v_exact <- circ_ivols( D, alpha, product=TRUE ) m_samp <- rbichibarsq(N,v_exact) str( prepare_em( d, m_samp ) )
#> List of 4 #> $ n : int 100000 #> $ prop_prim: num 0.00914 #> $ prop_pol : num 9e-04 #> $ dens : num [1:9, 1:98996] 0.000232 0.001118 0.003193 0.006595 0.010467 ...