pmvlogis: Multivariate Elliptically Contoured Logistic Distribution

Description

Computes the probabilities for the multivariate elliptically contoured distribution for arbitrary limits, shape matrices, and location vectors.

Usage

pmvlogis(
  lower = rep(-Inf, d),
  upper = rep(Inf, d),
  nterms = 500,
  Q = NULL,
  delta = rep(0, d),
  maxpts.pmvnorm = 25000,
  abseps.pmvnorm = 0.001,
  outermost.int = c("stats::integrate", "cubature::adaptIntegrate")[1],
  subdivisions.si = 100L,
  rel.tol.si = .Machine$double.eps^0.25,
  abs.tol.si = rel.tol.si,
  stop.on.error.si = TRUE,
  tol.ai = 1e-05,
  fDim.ai = 1,
  maxEval.ai = 0,
  absError.ai = 0,
  doChecking.ai = FALSE
)

Value

The object returned depends on what is selected for outermost.int. In the case of the default, stats::integrate, the value is a list of class "integrate" with components:

value: the final estimate of the integral.
abs.error: estimate of the modulus of the absolute error.
subdivisions: the number of subintervals produced in the subdivision process.
message: "OK" or a character string giving the error message.
call: the matched call.

Note: The reported abs.error is likely an under-estimate as integrate

assumes the integrand was without error, which is not the case in this application.

Arguments

lower: the vector of lower limits of length n.
upper: the vector of upper limits of length n.
nterms: the number of terms in the limiting form's sum. That is, changing the infinity on the top of the summation to a big K. This is an argument passed to dkolm().
Q: Shape matrix. See Nolan (2013).
delta: location vector.
maxpts.pmvnorm: Defaults to 25000. Passed to the F_G = pmvnorm() in the integrand of the outermost integral.
abseps.pmvnorm: Defaults to 1e-3. Passed to the F_G = pmvnorm() in the integrand of the outermost integral.
outermost.int: select which integration function to use for outermost integral. Default is "stats::integrate" and one can specify the following options with the .si suffix. For diagonal Q, one can also specify "cubature::adaptIntegrate" and use the .ai suffix options below (currently there is a bug for non-diagonal Q).
subdivisions.si: the maximum number of subintervals. The suffix .si indicates a stats::integrate() option for the outermost semi-infinite integral in the product distribution formulation.
rel.tol.si: relative accuracy requested. The suffix .si indicates a stats::integrate() option for the outermost semi-infinite integral in the product distribution formulation.
abs.tol.si: absolute accuracy requested. The suffix .si indicates a stats::integrate() option for the outermost semi-infinite integral in the product distribution formulation.
stop.on.error.si: logical. If true (the default) an error stops the function. If false some errors will give a result with a warning in the message component. The suffix .si indicates a stats::integrate() option for the outermost semi-infinite integral in the product distribution formulation.
tol.ai: The maximum tolerance, default 1e-5. The suffix .ai indicates a cubature::adaptIntegrate type option for the outermost semi-infinite integral in the product distribution formulation.
fDim.ai: The dimension of the integrand, default 1, bears no relation to the dimension of the hypercube The suffix .ai indicates a cubature::adaptIntegrate type option for the outermost semi-infinite integral in the product distribution formulation.
maxEval.ai: The maximum number of function evaluations needed, default 0 implying no limit The suffix .ai indicates a cubature::adaptIntegrate type option for the outermost semi-infinite integral in the product distribution formulation.
absError.ai: The maximum absolute error tolerated The suffix .ai indicates a cubature::adaptIntegrate type option for the outermost semi-infinite integral in the product distribution formulation.
doChecking.ai: A flag to be thorough checking inputs to C routines. A FALSE value results in approximately 9 percent speed gain in our experiments. Your mileage will of course vary. Default value is FALSE. The suffix .ai indicates a cubature::adaptIntegrate type option for the outermost semi-infinite integral in the product distribution formulation.

References

Nolan JP (2013), Multivariate elliptically contoured stable distributions: theory and estimation. Comput Stat (2013) 28:2067–2089 DOI 10.1007/s00180-013-0396-7

Examples

Run this code


## bivariate
U <- c(1,1)
L <- -U
Q <- matrix(c(10,7.5,7.5,10),2)
mvpd::pmvlogis(L, U, nterms=1000, Q=Q)

## trivariate
U <- c(1,1,1)
L <- -U
Q <- matrix(c(10,7.5,7.5,7.5,10,7.5,7.5,7.5,10),3)
mvpd::pmvlogis(L, U, nterms=1000, Q=Q)

## How `delta` works: same as centering
U <- c(1,1,1)
L <- -U
Q <- matrix(c(10,7.5,7.5,7.5,10,7.5,7.5,7.5,10),3)
D <- c(0.75, 0.65, -0.35)
mvpd::pmvlogis(L-D, U-D, nterms=100, Q=Q)
mvpd::pmvlogis(L  , U  , nterms=100, Q=Q, delta=D)

## recover univariate from trivariate
crit_val <- -1.3
Q <- matrix(c(10,7.5,7.5,7.5,20,7.5,7.5,7.5,30),3) / 10
Q
pmvlogis(c(-Inf,-Inf,-Inf), 
         c( Inf, Inf, crit_val),
         Q=Q)
plogis(crit_val, scale=sqrt(Q[3,3]))

pmvlogis(c(-Inf,     -Inf,-Inf), 
         c( Inf, crit_val, Inf ),
         Q=Q)
plogis(crit_val, scale=sqrt(Q[2,2]))

pmvlogis(c(     -Inf, -Inf,-Inf), 
         c( crit_val,  Inf, Inf ),
         Q=Q)
plogis(crit_val, scale=sqrt(Q[1,1]))

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