rvlb_sm {SMFilter}

Sample from the vector Langevin-Bingham on the Stiefel manifold.

Description

This function draws a sample from the vector Langevin-Bingham on the Stiefel manifold.

Usage

rvlb_sm(num, mA, vc, vx)

Arguments

num

number of observations or sample size.

mA

the matrix A which is symmetric ip*ip matrix.

vc

the vector c with dimension ip.

vx

the vector x, the initial value.

Details

The vector Langevin-Bingham distribution on the Stiefel manifold has the density kernel:

f(X) \propto \mathrm{etr}\{ x' A x + c' x \}

where x satisfies x'x = 1, and A is a symmetric matrix.

Value

an array containing a sample of draws from the vector Langevin-Bingham on the Stiefel manifold.

References

Hoff, P. D. (2009) "Simulation of the Matrix Bingham—von Mises—Fisher Distribution, With Applications to Multivariate and Relational Data", Journal of Computational and Graphical Statistics, Vol. 18, pp. 438-456.

Author(s)

Yukai Yang, [e-mail]