bdm::egiw Class Reference

Gauss-inverse-Wishart density stored in LD form. More...

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Detailed Description

Gauss-inverse-Wishart density stored in LD form.

For -variate densities, given rv.count() should be V.rows().

#include <exp_family.h>

List of all members.

Public Member Functions
vec	sample () const
	Returns a sample, from density .
vec	mean () const
	return expected value
vec	variance () const
	return expected variance (not covariance!)
vec	est_theta () const
	LS estimate of .
ldmat	est_theta_cov () const
	Covariance of the LS estimate.
void	mean_mat (mat &M, mat &R) const
	expected values of the linear coefficient and the covariance matrix are written to M and R , respectively
double	evallog_nn (const vec &val) const
	In this instance, val= [theta, r]. For multivariate instances, it is stored columnwise val = [theta_1 theta_2 ... r_1 r_2 ].
double	lognc () const
	logarithm of the normalizing constant,
void	pow (double p)
	Power of the density, used e.g. to flatten the density.
virtual double	evallog (const vec &val) const
	Evaluate normalized log-probability.
virtual vec	evallog_m (const mat &Val) const
	Evaluate normalized log-probability for many samples.
virtual vec	evallog_m (const Array< vec > &Val) const
	Evaluate normalized log-probability for many samples.
virtual string	to_string ()
	This method returns a basic info about the current instance.
virtual void	to_setting (Setting &set) const
	This method save all the instance properties into the Setting structure.
virtual void	validate ()
	This method TODO.
Constructors
	egiw ()
	egiw (int dimx0, ldmat V0, double nu0=-1.0)
void	set_parameters (int dimx0, ldmat V0, double nu0=-1.0)
Access attributes
ldmat &	_V ()
const ldmat &	_V () const
double &	_nu ()
const double &	_nu () const
void	from_setting (const Setting &set)
	Load from structure with elements:.
Constructors
Construction of each epdf should support two types of constructors: empty constructor, copy constructor, The following constructors should be supported for convenience: constructor followed by calling set_parameters() constructor accepting random variables calling set_rv() All internal data structures are constructed as empty. Their values (including sizes) will be set by method set_parameters(). This way references can be initialized in constructors.
void	set_parameters (int dim0)
Matematical Operations
virtual mat	sample_m (int N) const
	Returns N samples, from density .
virtual shared_ptr< mpdf >	condition (const RV &rv) const
	Return conditional density on the given RV, the remaining rvs will be in conditioning.
virtual shared_ptr< epdf >	marginal (const RV &rv) const
	Return marginal density on the given RV, the remainig rvs are intergrated out.
virtual void	qbounds (vec &lb, vec &ub, double percentage=0.95) const
	Lower and upper bounds of percentage % quantile, returns mean-2*sigma as default.
Connection to other classes
Description of the random quantity via attribute rv is optional. For operations such as sampling rv does not need to be set. However, for marginalization and conditioning rv has to be set. NB:
void	set_rv (const RV &rv0)
	Name its rv.
bool	isnamed () const
	True if rv is assigned.
const RV &	_rv () const
	Return name (fails when isnamed is false).
Access to attributes
int	dimension () const
	Size of the random variable.
Protected Attributes
ldmat	V
	Extended information matrix of sufficient statistics.
double	nu
	Number of data records (degrees of freedom) of sufficient statistics.
int	dimx
	Dimension of the output.
int	nPsi
	Dimension of the regressor.
int	dim
	dimension of the random variable
RV	rv
	Description of the random variable.

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Member Function Documentation

void bdm::egiw::from_setting

(

const Setting &

set

)

[inline, virtual]

Load from structure with elements:.

         { rv = {class="RV", names=(...),}; // RV describing meaning of random variable
           // elements of offsprings
         }

Reimplemented from bdm::epdf.

References dimx, bdm::UI::get(), nu, bdm::epdf::rv, and bdm::epdf::set_rv().

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The documentation for this class was generated from the following files:

• exp_family.h
• exp_family.cpp