omxMnor returns value for non p.d. cov.
Posted on
wuhao_osu
Joined: 09/07/2010
Hi,
I just found that the omxMnor returns a value for an input involving a non p.d. covariance matrix.
Example
omxMnor(array(1,dim=c(2,2)),cbind(0,0),cbind(-Inf,-Inf),cbind(0,0))
returns a value of .375. The limiting value should be .5
S<-diag(1,2);
S[1,2]<-S[2,1]<-2
omxMnor(S,cbind(0,0),cbind(-Inf,-Inf),cbind(0,0))
returns a value of 0.4262082, though S is not p.d.
omxMnor() bug
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In reply to omxMnor() bug by neale
omxMnor() bug
#ngroups 1
Test mnor with singular matrix
Calc
Begin Matrices;
m full 1 2 ! means
c symm 2 2 ! covs
u unit 1 2 ! integral type (1 = t to +inf)
z full 1 2 ! thresholds
End Matrices;
Matrix C 1 1 1
Begin Algebra;
W = \mnor(C_M_Z_Z_U);
End Algebra;
Option issat rs
end
#ngroups 1
Test mnor with negative definite matrix
Calc
Begin Matrices;
m full 1 2 ! means
c symm 2 2 ! covs
u unit 1 2 ! integral type (1 = t to +inf)
z full 1 2 ! thresholds
End Matrices;
Matrix C 1 2 1
Begin Algebra;
W = \mnor(C_M_Z_Z_U);
End Algebra;
Option issat rs
end
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