C-version of the .rgigjd and .rgigjd1 functions in fBasics

[Yohan Chalabi]

>>>> "EP" == Ester Pantaleo <esterpantaleo at gmail.com>
>>>> on Tue, 23 Mar 2010 14:27:41 +0100

   EP> To the Maintainers of the package fBasics,
   EP>
   EP>
   EP>
   EP> I thought you might be interested in the attached code
   EP> written by Robert B. Gramacy and me which. It is inspired by
   EP> the rgig function in ghyp which is essentially identical to
   EP> the .rgigjd and .rgigjd1 functions in fBasics. The attached
   EP> code is a merging of a C-version of the code in rgig and some
   EP> code from monomvn (a package for estimation of multivariate
   EP> normal and student-t data of arbitrary dimension where the
   EP> pattern of missing data is monotone).
   EP>
   EP>
   EP> I am sending this in the spirit of the open source community
   EP> because I believe that the C-version, being much faster,
   EP> could contribute to your package (see file time.R for a
   EP> comparison between the R and C codes). Some details about the
   EP> code follow. The R function uniroot has been replaced by a
   EP> modified version of ZEROIN from the C math library (algorithm
   EP> from G.Forsythe, M.Malcolm, C.Moler). Inverse gaussian variates
   EP> (case lambda=-0.5) are generated by the function rinvgauss
   EP> (algorithm from Michael,Schucany,Haas as given in Gentle's
   EP> book on page 193) essentially in the same way as in ghyp. 
   EP>
   EP>
   EP> Should you have any questions, please do not hesitate to ask.
   EP>
   EP>
   EP> Best regards,
   EP>
   EP>
   EP> Ester Pantaleo
   EP>
   EP>
   EP> Dipartimento di Fisica
   EP>
   EP> Universita' di Bari
   EP>
   EP> Italy


Dear Ester,

Thank you very much for your contribution. 

I have forwarded your message to David Luethi, the maintainer of the
ghyp package.


Kind regards,
Yohan

-- 
PhD candidate
Swiss Federal Institute of Technology
Zurich

www.ethz.ch