Last data update: 2014.03.03

 mvn R Documentation

### Description

Family for use with `gam` implementing smooth multivariate Gaussian regression. The means for each dimension are given by a separate linear predictor, which may contain smooth components. The Choleski factor of the response precision matrix is estimated as part of fitting.

### Usage

```mvn(d=2)
```

### Arguments

 `d` The dimension of the response (>1).

### Details

The response is `d` dimensional multivariate normal, where the covariance matrix is estimated, and the means for each dimension have sperate linear predictors. Model sepcification is via a list of gam like formulae - one for each dimension. See example.

Currently the family ignores any prior weights, and is implemented using first derivative information sufficient for BFGS estimation of smoothing parameters. `"response"` residuals give raw residuals, while `"deviance"` residuals are standardized to be approximately independent standard normal if all is well.

### Value

An object of class `general.family`.

### Author(s)

Simon N. Wood simon.wood@r-project.org

### References

Wood, S.N., N. Pya and B. Saefken (2015), Smoothing parameter and model selection for general smooth models. http://arxiv.org/abs/1511.03864

`gaussian`

### Examples

```library(mgcv)
## simulate some data...
V <- matrix(c(2,1,1,2),2,2)
f0 <- function(x) 2 * sin(pi * x)
f1 <- function(x) exp(2 * x)
f2 <- function(x) 0.2 * x^11 * (10 * (1 - x))^6 + 10 *
(10 * x)^3 * (1 - x)^10
n <- 300
x0 <- runif(n);x1 <- runif(n);
x2 <- runif(n);x3 <- runif(n)
y <- matrix(0,n,2)
for (i in 1:n) {
mu <- c(f0(x0[i])+f1(x1[i]),f2(x2[i]))
y[i,] <- rmvn(1,mu,V)
}
dat <- data.frame(y0=y[,1],y1=y[,2],x0=x0,x1=x1,x2=x2,x3=x3)

## fit model...

b <- gam(list(y0~s(x0)+s(x1),y1~s(x2)+s(x3)),family=mvn(d=2),data=dat)
b
summary(b)
plot(b,pages=1)
solve(crossprod(b\$family\$data\$R)) ## estimated cov matrix

```

```
```