similar to: Generating MVN Data

Dear all, I have a multivariate dataset containing 100,000 or more points. I want find the p-value for the dataset of points coming from a particular multivariate normal distribution With mean vector u Covariance matrix s2 So H0: points ~ MVN( u, s2) H1: points not ~ MVN( u, s2) How do I find the p-value in R? To me this is a likelihood ratio test problem. In H0 the parameters are

Hi Folks, Given k RVs with MVN distribution N(mu,S) (S a kxk covariance matrix), let (w.l.o.g.) X1 denote the first r of them, and X2 the last (k-r). Likewise, let mu1 and mu2 denote their respective expectations. Then, of course, the expectation of X2 given X1=x1 is mu2 + S21*inv(S22)*(x1 - mu1) and the covariance matrix of X2 given X1=x2 is S22 - S21*inv(X11)*S12 where Sij is the

Hello, I would like to simulate randomly from a multivariate normal distribution using a correlation matrix, rho. I do not have sigma. I have searched the help archive and the R documentation as well as doing a standard google search. What I have seen is that one can either use rmvnorm in the package: mvtnorm or mvrnorm in the package: MASS. I believe I read somewhere that the latter was

Hi All, I need to fit a mutlivariate normal model to a dataset in order to obtain the mean and covariance parameters. I see that the MVN function in the MCLUST package can do this, however when I try to run even the simplest example provided in the documentation, as below, I get the following error: n <- 1000 set.seed(0) x <- rnorm(n, mean = -1, sd = 2) mvn(modelName = "X", x)

Is there a package or code that generates data from a truncated multivariate normal distribution? -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at

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Hello, I am looking for a code in R for the variance ratio test statistic (the Lo and Mackinlay version or any other versions). Does anybody have such a code they can share or know a library in which I can find this function? Basically I have a number of time series which I need to check for persistence. One other test I can use is the runs test in the tseries package. Any help will be greatly

Dear All, For function: rmvnorm{mvtnorm} in (library mvtnorm, not splus2R), if I generate 2 bivariate normal samples as follows: > rmvnorm(2,mean=rep(0,2),sigma=diag(2)) [,1] [,2] [1,] 2.0749459 1.4932752 [2,] -0.9886333 0.3832266 Where is the first sample, it is stored in the first row or the first column? Does this function store samples row-wise or column-wise? Thank

This continues the message "data.frame within a function (PR#9294)" that was posted on 2006/10/12. Duncan Murdoch kindly replied. I'm using the current version R 2.4.0, but the same issue exists. Just copy and paste the following code under R, and compare the output of f1() and f2() and the output of f3() and f4(). Does anybody have any idea? Thanks.

>hi, >I am using R version 2.10.0.when i am trying to retrieve the previous used R commands >by using ↑ and ↓ keys,but i get the output like this ^[[A^[[A^[[A^[[B^[[C^[[A. >can any one tell me how i can solve this problem. -- Regards Ab Rauf Shah -- Regards Ab Rauf Shah [[alternative HTML version deleted]]

Hi, My R version is 2.4.1 and I installed the the packages MASS and run command library("MASS"), however when I type ?rmvnorm, no help topic found, it worked before. I tried to ype ?rinvgamma from "MCMCpack" which works great. Anybody have idea? I also reinstalled MASS package, but when I try to type rmvnorm(), no functions found. Pat

Hi R-fellows, I am trying to simulate a multivariate correlated sample via the Gaussian copula method. One variable is a binary variable, that should be autocorrelated. The autocorrelation should be rho = 0.2. Furthermore, the overall probability to get either outcome of the binary variable should be 0.5. Below you can see the R code (I use for simplicity a diagonal matrix in rmvnorm even if it

Hi, How can I generate a random signal that's correlated with a given signal at a given correlation (say 0.7)? I've been looking at rmvnorm etc but don't seem to figure it out. Thanks ----- Yasir H. Kaheil Columbia University -- View this message in context: http://www.nabble.com/generating-a-random-signal-with-a-known-correlation-tp18932541p18932541.html Sent from the R help

Dear all, how can i search multiple text or string patterns in a text file. i have written the following script but it is for only single searches at a time. how can i get multiple searches e.g "xyz","abc","pqr".....at a time and can save the results to an out file. script:: x<- "abc" z<-NULL;for (i in 1:1235){{if

Dear all, I would like to generate bi-variate normal data given that the first column of the data is known. for example: I first generate a set of data using the command, x <- rmvnorm(10, c(0, 0), matrix(c(1, 0, 0, 1), 2)) then I would like to sum up the two columns of x: x.sum <- apply(x, 1, sum) now with x.sum I would like to generate another column of data, say y, that makes

Hi, I want to simulate a data set with similar covariance structure as my observed data, and have calculated a covariance matrix (dimensions 8368*8368). So far I've tried two approaches to simulating data: rmvnorm from the mvtnorm package, and by using the Cholesky decomposition (http://www.cerebralmastication.com/2010/09/cholesk-post-on-correlated-random-normal-generation/). The problem is

Hi, Are there some packages which can generate multi-normal, multi-t, etc multivariate sampling? thanks! Best wishes, Peng ******************************* Peng Zhang Department of Biostatistics Harvard School of Public Health 655 Huntington Avenue Boston, Massachusetts 02115 ******************************* I believe I can fly I believe I can touch the sky

Dear expert, I have two coefficients and covariance matrix. My objective is sampling 1000 times from the mean and covariance matrix. In order to get that, what kind of commend should I use? If you do not mind, could you tell me the comment in detail about parameter used in that commend also? Thank you. Sung. [[alternative HTML version deleted]]

Hi all, rmvnorm()can be used to generate the random numbers from a multivariate normal distribution with specified means and covariance matrix, but i want to specify the correlation matrix instead of covariance matrix for the multivariate normal distribution. Does anybody know how to generate the random numbers from a multivariate normal distribution with specified correlation matrix? What about

I need use different parameters of distribution for different case to generate random value, but I use ifelse, the generated value is fixed without change. Here is example data1 y x 1 1 2 2 2 1 3 3 2 4 4 3 5 5 3 6 6 1 7 7 2 8 8 1 9 9 1 10 10 3 11 11 3 12 12 2 ifelse(data1$x==1,rnorm(1,2,1),ifelse(data1$x==2,rnorm(1,-2,1),rnorm(1,110,1))) [1] -1.8042172 0.8478681