On Wed, Apr 25, 2007 at 01:25:09PM -0500, Daniel Elliott wrote: > Hello. Thank you for your mnormt package. Below is an email I sent to > R-help regarding the function dmnorm. > > Any help you can provide would be greatly appreciated. >
Hello. You have not provided information on what specifically you have tried as for parameters and evaluation points, so I have chosen a particularly simple case, namely the 1024-dimensional density with independent standard marginals, using this code d<- 1024 x <- 1 const<- 0.5*log(2*pi) log.pdf <-0 for (i in 1:d) log.pdf <- log.pdf - x^2/2 -const # S <- diag(d) mu<- rep(0,d) X <- rep(x,d) log.pdf2 <- dmnorm(X,mu,S, log=TRUE) cat(log.pdf, log.pdf2, abs(log.pdf-log.pdf2),"\n") and the outcome was this one: -1453 -1453 2.137e-11 which seems quite decent to me. Obviously, you must not take exp() of this log-density, as otherwise a 0 is indeed produced, but the reason is not in the package, rather in the possibility of representing that number using standard floating-point numerical devices. best regards, Adelchi Azzalini > Thank you. > > - dan elliott > > ---------- Forwarded message ---------- > From: Daniel Elliott <[EMAIL PROTECTED]> > Date: Apr 25, 2007 1:21 PM > Subject: dmnorm not meant for 1024-dimensional data? > To: [email protected] > > Hello, > > I have some data generated by a simple mixture of Gaussians (more like > K-means) and (as a test) am using dmnorm to calculate the probability > of each data point coming from each Gaussian. However, I get only > zero probabilities. > > This code works in low dimensions (tried 2 and 3 already). I have run > into many implementations that do not work in high dimension, but I > thought that I was safe with dmnorm because it has an option to > compute the log of the probability. > > So, is dmnorm not intended to be used with data of such high dimensionality? > > Thank you, > > dan elliott -- Adelchi Azzalini <[EMAIL PROTECTED]> Dipart.Scienze Statistiche, Università di Padova, Italia tel. +39 049 8274147, http://azzalini.stat.unipd.it/ ______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
