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Commit 03575352 authored by SANTAGOSTINI Pierre's avatar SANTAGOSTINI Pierre
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Small corrections.

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......@@ -2,7 +2,7 @@
% Please edit documentation in R/diststudent.R
\name{diststudent}
\alias{diststudent}
\title{Distance/Divergence between Centered Multivariate $t$ Distributions}
\title{Distance/Divergence between Centered Multivariate \eqn{t} Distributions}
\usage{
diststudent(nu1, Sigma1, nu2, Sigma2,
dist = c("renyi", "bhattacharyya", "hellinger"),
......@@ -45,7 +45,7 @@ Let \eqn{\delta_1 = \frac{\nu_1 + p}{2} \beta}, \eqn{\delta_2 = \frac{\nu_2 + p}
and \eqn{\lambda_1, \dots, \lambda_p} the eigenvalues of the square matrix \eqn{\Sigma_1 \Sigma_2^{-1}}
sorted in increasing order: \deqn{\lambda_1 < \dots < \lambda_{p-1} < \lambda_p}
The Renyi divergence between \eqn{X_1} and \eqn{X_2} is:
\deqn{D_R^\beta(\mathbf{X}_1||\mathbf{X}_1) = \frac{1}{\beta - 1} \bigg[ \beta \ln\left(\frac{\Gamma\left(\frac{\nu_1+p}{2}\right) \Gamma\left(\frac{\nu_2}{2}\right) \nu_2^{\frac{p}{2}}}{\Gamma\left(\frac{\nu_2+p}{2}\right) \Gamma\left(\frac{\nu_1}{2}\right) \nu_1^{\frac{p}{2}}}\right) + \ln\left(\frac{\Gamma\left(\frac{\nu_2+p}{2}\right)}{\Gamma\left(\frac{\nu_2}{2}\right)}\right) + \ln\left(\frac{\Gamma\left(\delta_1 + \delta_2 - \frac{p}{2}\right)}{\Gamma(\delta_1 + \delta_2)}\right) - \frac{\beta}{2} \sum_{i=1}^p{\ln\lambda_i} + \ln F_D^{(p)}{\bigg( \delta_1, \frac{1}{2}, \dots, \frac{1}{2}; \delta_1+\delta_2; 1-\frac{\nu_2}{\nu_1 \lambda_1}, \dots, 1-\frac{\nu_2}{\nu_1 \lambda_p} \bigg)} \bigg]}
\deqn{D_R^\beta(\mathbf{X}_1||\mathbf{X}_1) = \frac{1}{\beta - 1} \bigg[ \beta \ln\left(\frac{\Gamma\left(\frac{\nu_1+p}{2}\right) \Gamma\left(\frac{\nu_2}{2}\right) \nu_2^{\frac{p}{2}}}{\Gamma\left(\frac{\nu_2+p}{2}\right) \Gamma\left(\frac{\nu_1}{2}\right) \nu_1^{\frac{p}{2}}}\right) + \ln\left(\frac{\Gamma\left(\frac{\nu_2+p}{2}\right)}{\Gamma\left(\frac{\nu_2}{2}\right)}\right) + \ln\left(\frac{\Gamma\left(\delta_1 + \delta_2 - \frac{p}{2}\right)}{\Gamma(\delta_1 + \delta_2)}\right) - \frac{\beta}{2} \sum_{i=1}^p{\ln\lambda_i} + \ln F_D^{(p)}{\bigg( \delta_1, \underbrace{\frac{1}{2}, \dots, \frac{1}{2}}_p; \delta_1+\delta_2; 1-\frac{\nu_2}{\nu_1 \lambda_1}, \dots, 1-\frac{\nu_2}{\nu_1 \lambda_p} \bigg)} \bigg]}
where \eqn{F_D^{(p)}} is the Lauricella \eqn{D}-hypergeometric function defined for \eqn{p} variables:
\deqn{ \displaystyle{ F_D^{(p)}\left(a; b_1, ..., b_p; g; x_1, ..., x_p\right) = \sum\limits_{m_1 \geq 0} ... \sum\limits_{m_p \geq 0}{ \frac{ (a)_{m_1+...+m_p}(b_1)_{m_1} ... (b_p)_{m_p} }{ (g)_{m_1+...+m_p} } \frac{x_1^{m_1}}{m_1!} ... \frac{x_p^{m_p}}{m_p!} } } }
......@@ -55,7 +55,7 @@ The Bhattacharyya distance is given by:
\deqn{D_B(\mathbf{X}_1||\mathbf{X}_2) = \frac{1}{2} D_R^{1/2}(\mathbf{X}_1||\mathbf{X}_2)}
And the Hellinger distance is given by:
\deqn{D_B(\mathbf{X}_1||\mathbf{X}_2) = 1 - \exp{-\frac{1}{2} D_R^{1/2}(\mathbf{X}_1||\mathbf{X}_2)}}
\deqn{D_H(\mathbf{X}_1||\mathbf{X}_2) = 1 - \exp{\left(-\frac{1}{2} D_R^{1/2}(\mathbf{X}_1||\mathbf{X}_2)\right)}}
}
\examples{
\donttest{
......
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