dist.Multivariate.Cauchy {LaplacesDemon} R Documentation

## Multivariate Cauchy Distribution

### Description

These functions provide the density and random number generation for the multivariate Cauchy distribution.

### Usage

dmvc(x, mu, S, log=FALSE)
rmvc(n=1, mu, S)


### Arguments

 x This is either a vector of length k or a matrix with a number of columns, k, equal to the number of columns in scale matrix \textbf{S}. n This is the number of random draws. mu This is a numeric vector representing the location parameter, \mu (the mean vector), of the multivariate distribution It must be of length k, as defined above. S This is a k \times k positive-definite scale matrix \textbf{S}. log Logical. If log=TRUE, then the logarithm of the density is returned.

### Details

• Application: Continuous Multivariate

• Density:

p(\theta) = \frac{\Gamma[(1+k)/2]}{\Gamma(1/2)1^{k/2}\pi^{k/2}|\Sigma|^{1/2}[1+(\theta-\mu)^{\mathrm{T}}\Sigma^{-1}(\theta-\mu)]^{(1+k)/2}}

• Inventor: Unknown (to me, anyway)

• Notation 1: \theta \sim \mathcal{MC}_k(\mu, \Sigma)

• Notation 2: p(\theta) = \mathcal{MC}_k(\theta | \mu, \Sigma)

• Parameter 1: location vector \mu

• Parameter 2: positive-definite k \times k scale matrix \Sigma

• Mean: E(\theta) = \mu

• Variance: var(\theta) = undefined

• Mode: mode(\theta) = \mu

The multivariate Cauchy distribution is a multidimensional extension of the one-dimensional or univariate Cauchy distribution. The multivariate Cauchy distribution is equivalent to a multivariate t distribution with 1 degree of freedom. A random vector is considered to be multivariate Cauchy-distributed if every linear combination of its components has a univariate Cauchy distribution.

The Cauchy distribution is known as a pathological distribution because its mean and variance are undefined, and it does not satisfy the central limit theorem.

### Value

dmvc gives the density and rmvc generates random deviates.

### Author(s)

Statisticat, LLC. software@bayesian-inference.com

dcauchy, dinvwishart, dmvcp, dmvt, and dmvtp.

### Examples

library(LaplacesDemon)
x <- seq(-2,4,length=21)
y <- 2*x+10
z <- x+cos(y)
mu <- c(1,12,2)
Sigma <- matrix(c(1,2,0,2,5,0.5,0,0.5,3), 3, 3)
f <- dmvc(cbind(x,y,z), mu, Sigma)

X <- rmvc(1000, rep(0,2), diag(2))
X <- X[rowSums((X >= quantile(X, probs=0.025)) &
(X <= quantile(X, probs=0.975)))==2,]
joint.density.plot(X[,1], X[,2], color=TRUE)


[Package LaplacesDemon version 16.1.6 Index]