Hi

I have a multivariate normal distribution in five variables. The distribution is specified by a vector of means ('means') and a variance-covariance matrix ('varcov'), both set up as global variables.

I'm trying to figure out the probabilities of each random variable being the smallest.

So I've made a function:

              integrand<-function(x){

#create new mv normal dist, conditional on fixing the value of element i to x
                        sig11 <- varcov[-i,-i]
                        sig12 <- varcov[,i]
                        sig12 <- sig12[-i]
                        sig21 <- varcov[i,]
                        sig21 <- sig21[-i]
                        sig22 <- varcov[i,i]
                        mu1 <- means[-i]
                        mu2 <- means[i]

                        muBar <- mu1 + sig12*(x-mu2)/sig22
                        sigBar <- sig11 - (sig12) %*% t(sig21)/sig22

                        #now calculate the probability that variable i takes 
the value x,
                        #and that all other variables are bigger than x...
                        arg <- dnorm(x,means[i],sigma[i])
arg <- arg*pmvnorm(lower=c(x,x,x,x), upper=c(10,10,10,10), mean=muBar,sigma=sigBar)
                                                
                        return(as.numeric(arg))                 
                }

Then I need to perform a 1-d integration of this function over all possible values of x, which gives the total probability of variable i being the smallest.

If I use a numerical integration function with explicit looping then this works fine. But if I try and use a vectorised integrator (such as the 'integrate' function), to improve performance, then I run into the following error message:

Error in checkmvArgs(lower = lower, upper = upper, mean = mean, corr = corr, :
  ‘diag(sigma)’ and ‘lower’ are of different length

checkmvArgs is a function required by pmvnorm, so I'm fairly sure that's where the problem lies. diag(sigma) and lower certainly are of the same length, so not sure at all what's happening here. Has anyone else encountered this issue? And, if so, do you know the solution?

Many thanks
Paul

______________________________________________
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.

Reply via email to