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mxAlgebra Wishlist

Wed, 08/20/2014 - 12:46 — mhunter

The following algebras would be nice to have. They are currently scheduled for completion after the 2.0 release:

ceiling, floor, trunk, round
dim
rowMeans, colMeans
qnorm, pnorm
qr

Reporter: 
mhunter
Created: 
Wed, 08/20/2014 - 12:46
Updated: 
Wed, 10/15/2014 - 15:30

Comments

Tue, 10/14/2014 - 18:57 — AdminRobK

I have some changes ready to commit that will implement qnorm() and the log-gamma function, lgamma(). I consider these two functions to be a relatively high priority in this wishlist, because they will enable a lot more custom-written likelihood functions to be written as mxAlgebras.

I can probably churn out trunc() and round() soon, too.

Wed, 10/15/2014 - 11:32 — AdminRobK

Also, note that we already have pnorm(). It's called omxMnor().

Wed, 10/15/2014 - 11:49 — mhunter

I agree with your prioritization. Is your qnorm mxAlgebra also multivariate?

The mnemonic for omxMnor is Multivariate NORmal integration.

Wed, 10/15/2014 - 12:39 — AdminRobK

Nope, it's univariate only. Quantiles from multivariate distributions are not necessarily unique. For instance, load the mvtnorm package and try

pmvnorm(lower = c(-Inf,-Inf), upper = c(1,0), mean = c(0,0), sigma = matrix(c(1,0.5,0.5,1),nrow=2))
pmvnorm(lower = c(-Inf,-Inf), upper = c(0,1), mean = c(0,0), sigma = matrix(c(1,0.5,0.5,1),nrow=2))

You'll see that (0,1) and (1,0) could both be considered the 0.468743 quantile of this distribution.

Wed, 10/15/2014 - 15:30 — mhunter

Of course! I believe I was thinking of dnorm. But we already have that as the fitfunction of a Normal Expectation.

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