bugGNU Octave - Bugs: bug #55860, [octave forge] (statistics)...

 
 

bug #55860: [octave forge] (statistics) possible bug in wishrnd.m

Submitted by:  None
Submitted on:  Fri 08 Mar 2019 03:24:00 AM UTC  
 
Category:  Octave Forge Package Severity:  3 - Normal
Priority:  5 - Normal Item Group:  Incorrect Result
Status:  None Assigned to:  None
Originator Name:  Originator Email:  -email is unavailable-
Open/Closed:  Open Release:  4.4.1
Operating System:  Any

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Tue 12 Mar 2019 04:34:06 PM UTC, comment #2:

I edited wishrnd in the repository in response to this bug, please see if that fixes the issue.

Nir Krakauer <nir_krakauer>
Tue 12 Mar 2019 04:13:30 PM UTC, comment #1:

Do you have any examples that illustrate the wrong result ?

John Donoghue <lostbard>
Project Member
Fri 08 Mar 2019 03:24:00 AM UTC, original submission:

For a non-integer df, the current code is:

Z = diag(sqrt(chi2rnd(df - (0:(p-1))))); #fill diagonal
Z(ii > jj) = randn(p*(p-1)/2, 1); #fill lower triangle with normally distributed variates
Z = D * Z;
W(:, :, i) = Z*Z';

However, D is provided by chol(), which by default produces upper triangular matrices. So, the order of multiplications should be:
Z = Z * D;
W(:, :, i) = Z' * Z;

To take into account the changed order, the Z matrix should have its upper triangle filled with normally distributed variates, instead of the lower triangle:
Z(ii < jj) = randn(p*(p-1)/2, 1);

Anonymous

 

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  • -email is unavailable- added by nir_krakauer (Posted a comment)
  • -email is unavailable- added by lostbard (Posted a comment)
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    Follows 1 latest change.

    Date Changed by Updated Field Previous Value => Replaced by
    2019-03-08 mtmiller Summarypossible bug in wishrnd.m (statistics package) => [octave forge] (statistics) possible bug in wishrnd.m

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