#Example_4
@R_Experts
> dmvnorm <- function (x, mean, sigma, log = FALSE) {
+ if (is.vector(x)) {
+ x <- matrix(x, ncol = length(x))
+ }
+ if (missing(mean)) {
+ mean <- rep(0, length = ncol(x))
+ }
+ if (missing(sigma)) {
+ sigma <- diag(ncol(x))
+ }
+ if (NCOL(x) != NCOL(sigma)) {
+ stop("x and sigma have non-conforming size")
+ }
+ if (!isSymmetric(sigma, tol = sqrt(.Machine$double.eps),
+ check.attributes = FALSE)) {
+ stop("sigma must be a symmetric matrix")
+ }
+ if (length(mean) != NROW(sigma)) {
+ stop("mean and sigma have non-conforming size")
+ }
+ distval <- mahalanobis(x, center = mean, cov = sigma)
+ logdet <- sum(log(eigen(sigma, symmetric = TRUE, only.values = TRUE)$values))
+ logretval <- -(ncol(x) * log(2 * pi) + logdet + distval)/2
+ if (log)
+ return(logretval)
+ exp(logretval)
+ }
>
> m <- 3
> sigma <- diag(3)
> sigma[2,1] <- sigma[1, 2] <- 3/5 ; sigma[3,1] <- sigma[1, 3] <- 1/3
> sigma[3,2] <- sigma[2, 3] <- 11/15
> adaptIntegrate(dmvnorm, lower=rep(-0.5, m), upper=c(1,4,2),
+ mean=rep(0, m), sigma=sigma, log=FALSE,
+ maxEval=10000)
$integral
[1] 0.3341125
$error
[1] 4.185435e-06
$functionEvaluations
[1] 10065
$returnCode
[1] 0@R_Experts