evaluate_noncentral: Evaluate a noncentral multivariate moment

Description

Computes the numerical value of a non-central moment at a specfied mean and specified covariance matrix

Usage

evaluate_noncentral(moment,mu,sigma,envir='symmoments')

Arguments

moment

a vector of non-negative integers representing the non-central moment to be evaluated

a vector of real numbers representing the mean of the multivariate normal distribution

sigma

an upper-triangular matrix of covariance terms for the multivariate normal distribution expressed as a vector at which the moment is to be evaluated

envir

a character variable specifying the environment containing the central moments needed for the calculation

Value

numeric value of the moment at the specified mean and covariance matrix

Details

This function looks in the environment specified in the envir argument for the central moments needed in the calculation. The default is the symmoments environment. All even moments less than or equal to the moment argument are required. The computation stops with an error message if a required moment is not found in envir.

References

K Phillips, Symbolic Computation of the Central Moments of the Multivariate Normal Distribution, Journal of Statistical Software, 2010.

Examples

Run this code

# NOT RUN {
# evaluate_noncentral(c(3,1,2),c(3,4,1),c(4,2,1,3,1,2))
# evaluates the expected value of X1**3 X2 X3**2 at mean c(1,2,3) 
# and at the following covariance matrix
#    4 2 1 
#    2 3 1 
#    1 1 2 

#  requires all moments up to c(3,1,2) to exist in the symmoments environment.
#  use  make.all.moments(c(3,1,2)) if necessary.

# use moments in the global environment:
# evaluate_noncentral(c(3,1,2),c(3,4,1),c(4,2,1,3,1,2),'.GlobalEnv')

# }

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