Simulation of random values from a Bingham distribution with any symmetric matrix {Rfast}

Simulation of random values from a Bingham distribution with any symmetric matrix

Description

Simulation of random values from a Bingham distribution with any symmetric matrix.

Usage

rbingham(n, A)

Arguments

n

Sample size.

A

A symmetric matrix.

Details

The eigenvalues of the q x q symmetric matrix A are calculated and the smallest of them is subtracted from the rest. The q - 1 non zero eiqenvalues are then passed to rbing. The generated data are then right multiplied by V^T, where V is the matrix of eigenvectors of the matrix A.

Value

A matrix with the simulated data.

Author(s)

Michail Tsagris

R implementation and documentation: Michail Tsagris <[e-mail]> and Manos Papadakis <[e-mail]>

References

Kent J.T., Ganeiber A.M. and Mardia K.V. (2013). A new method to simulate the Bingham and related distributions in directional data analysis with applications. http://arxiv.org/pdf/1310.8110v1.pdf

C.J. Fallaize and T. Kypraios (2014). Exact Bayesian Inference for the Bingham Distribution. Statistics and Computing (No volum assigned yet). http://arxiv.org/pdf/1401.2894v1.pdf

See Also

rvmf

Examples

A <- cov( iris[, 1:4] )
x <- rbingham(100, A)
x