Comments (2)
For what it's worth, I was expecting something like the following, which agrees for the rho=0
case:
wtsim <- function(rho,nsim=9999) {
require(mvtnorm,quietly=TRUE)
R <- pmin(diag(2) + rho,1)
X <- rmvnorm(nsim,sigma=R)
w <- rowSums(X > 0)
table(w) / length(w)
}
set.seed(1234)
wtsim(0)
wtsim(0.9995)
0 1 2
0.2474 0.5032 0.2494
0 1 2
0.4953 0.0114 0.4932
from restriktor.
Hmmm, I think I am computing the wrong quantity. It seems I am projecting my multivariate normals on the positive cone without taking into account the covariance. (My weights do not seem to satisfy Proposition 3.6.1 (3) in Silvapulle & Sen, whereas the ones produced by restriktor
do.)
from restriktor.
Related Issues (8)
- known issue: bootstrapped p-value for shifted closed convex cones is incorrect
- Same constraints, different results HOT 4
- Slightly incorrect error message
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- Incorrect column name `goric()$result` when `type = 'goricc'` and `comparison = 'complement'` HOT 1
- RLM - could not find function "lqs"
- restriktor has been archived from CRAN HOT 2
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from restriktor.