Simulation of random values from a Bingham distribution with any symmetric matrix
Simulation of random values from a Bingham distribution with any symmetric matrix.
rbingham(n, A)
n |
Sample size. |
A |
A symmetric matrix. |
The eigenvalues of the q x q symmetric matrix A are calculated and the smallest of
them is subtracted from the rest. The q - 1 non zero eiqenvalues are then passed to
rbing. The generated data are then right multiplied by V^T, where
V is the matrix of eigenvectors of the matrix A.
A matrix with the simulated data.
Michail Tsagris
R implementation and documentation: Michail Tsagris <mtsagris@yahoo.gr> and Manos Papadakis <papadakm95@gmail.com>
Kent J.T., Ganeiber A.M. and Mardia K.V. (2013). A new method to simulate the Bingham and related distributions in directional data analysis with applications. http://arxiv.org/pdf/1310.8110v1.pdf
C.J. Fallaize and T. Kypraios (2014). Exact Bayesian Inference for the Bingham Distribution. Statistics and Computing (No volum assigned yet). http://arxiv.org/pdf/1401.2894v1.pdf
A <- cov( iris[, 1:4] ) x <- rbingham(100, A) x
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