Mit {AdMit} R Documentation

## Mixture of Student-t Distributions

### Description

Density function or random generation for an adaptive mixture of Student-t distributions

### Usage

```dMit(theta, mit = list(), log = TRUE)
rMit(N = 1, mit = list())
```

### Arguments

 `theta` matrix (of size Nxd, where N,d>=1) of real values. `mit` list containing information on the mixture approximation (see *Details*). `log` logical; if `log = TRUE`, returns (natural) logarithm values of the density. Default: `log = TRUE`. `N` number of draws (positive integer number).

### Details

`dMit` returns the density values while `rMit` generates draws from a mixture of Student-t distributions.

The argument `mit` is a list containing information on the adaptive mixture of Student-t distributions. The following components must be provided:

`p`

vector (of length H) of mixture probabilities.

`mu`

matrix (of size Hxd) containing the vectors of modes (in row) of the mixture components.

`Sigma`

matrix (of size Hxd*d) containing the scale matrices (in row) of the mixture components.

`df`

degrees of freedom parameter of the Student-t components (integer number not smaller than one).

where H (>=1) is the number of components and d (>=1) is the dimension of the mixture approximation. Typically, `mit` is estimated by the function `AdMit`. If the `mit = list()`, a Student-t distribution located at `rep(0,d)` with scale matrix `diag(d)` and one degree of freedom parameter is used.

### Value

Vector (of length N of density values, or matrix (of size `N`xd) of random draws, where d (>=1) is the dimension of the mixture approximation.

### Note

Further details and examples of the R package `AdMit` can be found in Ardia, Hoogerheide, van Dijk (2009a,b). See also the package vignette by typing `vignette("AdMit")`.

Please cite the package in publications. Use `citation("AdMit")`.

David Ardia

### References

Ardia, D., Hoogerheide, L.F., van Dijk, H.K. (2009a). AdMit: Adaptive Mixture of Student-t Distributions. R Journal 1(1), pp.25-30. doi: 10.32614/RJ-2009-003

Ardia, D., Hoogerheide, L.F., van Dijk, H.K. (2009b). Adaptive Mixture of Student-t Distributions as a Flexible Candidate Distribution for Efficient Simulation: The R Package AdMit. Journal of Statistical Software 29(3), pp.1-32. doi: 10.18637/jss.v029.i03

### See Also

`AdMit` for fitting an adaptive mixture of Student-t distributions to a given function `KERNEL`, `AdMitIS` for importance sampling using an adaptive mixture of Student-t distributions as the importance density, `AdMitMH` for the independence chain Metropolis-Hastings using an adaptive mixture of Student-t distributions as the candidate density.

### Examples

```  ## NB : Low number of draws for speedup. Consider using more draws!
## One dimensional two components mixture of Student-t distributions
mit <- list(p = c(0.5, 0.5),
mu = matrix(c(-2.0, 0.5), 2, 1, byrow = TRUE),
Sigma = matrix(0.1, 2),
df = 10)
## Generate draws from the mixture
hist(rMit(1e4, mit = mit), nclass = 100, freq = FALSE)
x <- seq(from = -5.0, to = 5.0, by = 0.01)
## Add the density to the histogram
lines(x, dMit(x, mit = mit, log = FALSE), col = "red", lwd = 2)

## Two dimensional (one component mixture) Student-t distribution
mit <- list(p = 1,
mu = matrix(0.0, 1.0, 2.0),
Sigma = matrix(c(1.0, 0.0, 0.0, 1.0), 1, 4),
df = 10)
## Function used to plot the mixture in two dimensions
dMitPlot <- function(x1, x2, mit = mit)
{
dMit(cbind(x1, x2), mit = mit, log = FALSE)
}
x1 <- x2 <- seq(from = -10.0, to = 10.0, by = 0.1)
thexlim <- theylim <- range(x1)
z <- outer(x1, x2, FUN = dMitPlot, mit = mit)
## Contour plot of the mixture
contour(x1, x2, z, nlevel = 20, las = 1,
col = rainbow(20),
xlim = thexlim, ylim = theylim)
par(new = TRUE)
## Generate draws from the mixture
plot(rMit(1e4, mit = mit), pch = 20, cex = 0.3,
xlim = thexlim, ylim = theylim, col = "red", las = 1)

```

[Package AdMit version 2.1.8 Index]