Displaying 3 results from an estimated 3 matches for "stephanmi1".
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stephanie
2012 May 30
3
alternative generator for normal distributed variables
Hello,
currently I'm working on a model based on Monte-Carlo-Simulations.
I observed that a generated normal distributed times series using
rnorm(100,mean=0,sd=1)
is far away from being not autocorrelated.
Is there any other gerenator implemented in R, which might solve my problem?
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2012 Apr 26
0
nearest positive semidefinit toeplitz matrix
hHllo,
I'm looking for an algroithm to transform an existing toeplitz matrix
(autocorrelation matrix) to the nearest positive semidefinite toeplitz
matrix.
I merely found an algorithm to transform an correlation matrix via the
function nearcor() based on the algorithm of Higham.
But as I examined, it destroys the toeplitz structure of my underlying
matrix.
Does any function already exist
2012 Apr 19
3
Bivariate normal integral
hello,
I'm trying to improve the speed of my calculation but didn't get to a
satisfying result.
It's about the numerical Integration of a bivariate normal distribution.
The code I'm currently using
x <-
qnorm(seq(.Machine$double.xmin,c(1-2*.Machine$double.eps),by=0.01),
mean=0,sd=1)
rho <- 0.5
integral <- function(rho,x1){