dynare/dynare++/tl/cc/normal_moments.hweb

@q $Id: normal_moments.hweb 148 2005-04-19 15:12:26Z kamenik $ @>
@q Copyright 2004, Ondra Kamenik @>

@*2 Moments of normal distribution. Start of {\tt normal\_moments.h} file.

Here we calculate the higher order moments of normally distributed
random vector $u$ with means equal to zero and given
variance--covariance matrix $V$, this is $u\sim N(0,V)$. The moment
generating function for such distribution is $f(t)=e^{{1\over 2}t^TVt}$. If
we derivate it wrt $t$ and unfold the higher dimensional tensors
row-wise, we obtain terms like
$$\eqalign{
{\partial\over\partial t}f(t)=&f(t)\cdot Vt\cr
{\partial^2\over\partial t^2}f(t)=&f(t)\cdot(Vt\otimes Vt+v)\cr
{\partial^3\over\partial t^3}f(t)=&f(t)\cdot
  (Vt\otimes Vt\otimes Vt+P_?(v\otimes Vt)+P_?(Vt\otimes v)+v\otimes Vt)\cr
{\partial^4\over\partial t^4}f(t)=&f(t)\cdot
  (Vt\otimes Vt\otimes Vt\otimes Vt+S_?(v\otimes Vt\otimes Vt)+
   S_?(Vt\otimes v\otimes Vt)+S_?(Vt\otimes Vt\otimes v)+S_?(v\otimes v))}
$$
where $v$ is vectorized $V$ ($v=\hbox{vec}(V)$), and $P_?$ is a
suitable row permutation (corresponds to permutation of
multidimensional indices) which permutes the tensor data, so that the
index of a variable being derived would be the last. This ensures that
all (permuted) tensors can be summed yielding a tensor whose indices
have some order (in here we chose the order that more recent
derivating variables are to the right). Finally, $S_?$ is a suitable
sum of various $P_?$.

We are interested in $S_?$ multiplying the Kronecker powers
$\otimes^nv$. The $S_?$ is a (possibly) multi-set of permutations of
even order. Note that we know a number of permutations in $S_?$. The
above formulas for $F(t)$ derivatives are valid also for monomial
$u$, and from literature we know that $2n$-th moment is ${(2n!)\over
n!2^n}\sigma^2$. So there are ${(2n!)\over n!2^n}$ permutations in
$S_?$.

In order to find the $S_?$ we need to define a couple of
things. First we define a sort of equivalence between the permutations
applicable to even number of indices. We write $P_1\equiv P_2$
whenever $P_1^{-1}\circ P_2$ permutes only whole pairs, or items
within pairs, but not indices across the pairs. For instance the
permutations $(0,1,2,3)$ and $(3,2,0,1)$ are equivalent, but
$(0,2,1,3)$ is not equivalent with the two. Clearly, the $\equiv$ is
an equivalence.

This allows to define a relation $\sqsubseteq$ between the permutation
multi-sets $S$, which is basically the subset relation $\subseteq$ but
with respect to the equivalence $\equiv$, more formally:
$$S_1\sqsubseteq S_2\quad\hbox{iff}\quad P\in S_1
\Rightarrow\exists Q\in S_2:P\equiv Q$$
This induces an equivalence $S_1\equiv S_2$.

Now let $F_n$ denote a set of permutations on $2n$ indices which is
maximal with respect to $\sqsubseteq$, and minimal with respect to
$\equiv$. (In other words, it contains everything up to the
equivalence $\equiv$.) It is straightforward to calculate a number of
permutations in $F_n$. This is a total number of all permutations of
$2n$ divided by permutations of pairs divided by permutations within
the pairs. This is ${(2n!)\over n!2^n}$.

We prove that $S_?\equiv F_n$. Clearly $S_?\sqsubseteq F_n$, since
$F_n$ is maximal. In order to prove that $F_n\sqsubseteq S_?$, let us
assert that for any permutation $P$ and for any (semi)positive
definite matrix $V$ we have $PS_?\otimes^nv=S_?\otimes^nv$. Below we
show that there is a positive definite matrix $V$ of some dimension
that for any two permutation multi-sets $S_1$, $S_2$, we have
$$S_1\not\equiv S_2\Rightarrow S_1(\otimes^nv)\neq S_2(\otimes^nv)$$
So it follows that for any permutation $P$, we have $PS_?\equiv
S_?$. For a purpose of contradiction let $P\in F_n$ be a permutation
which is not equivalent to any permutation from $S_?$. Since $S_?$ is
non-empty, let us pick $P_0\in S_?$. Now assert that
$P_0^{-1}S_?\not\equiv P^{-1}S_?$ since the first contains an identity
and the second does not contain a permutation equivalent to
identity. Thus we have $(P\circ P_0^{-1})S_?\not\equiv S_?$ which
gives the contradiction and we have proved that $F_n\sqsubseteq
S_?$. Thus $F_n\equiv S_?$. Moreover, we know that $S_?$ and $F_n$
have the same number of permutations, hence the minimality of $S_?$
with respect to $\equiv$.

Now it suffices to prove that there exists a positive definite $V$
such that for any two permutation multi-sets $S_1$, and $S_2$ holds
$S_1\not\equiv S_2\Rightarrow S_1(\otimes^nv)\neq S_2(\otimes^nv)$. If
$V$ is $n\times n$ matrix, then $S_1\not\equiv S_2$ implies that there
is identically nonzero polynomial of elements from $V$ of order $n$
over integers. If $V=A^TA$ then there is identically non-zero
polynomial of elements from $A$ of order $2n$. This means, that we
have to find $n(n+1)/2$ tuple $x$ of real numbers such that all
identically non-zero polynomials $p$ of order $2n$ over integers yield
$p(x)\neq 0$.

The $x$ is constructed as follows: $x_i = \pi^{\log{r_i}}$, where $r_i$
is $i$-th prime. Let us consider monom $x_1^{j_1}\cdot\ldots\cdot
x_k^{j_k}$. When the monom is evaluated, we get
$$\pi^{\log{r_1^{j_1}}+\ldots+\log{r_k^{j_k}}}=
\pi^{\log{\left(r_1^{j_1}\cdot\ldots\cdot r_k^{j_k}\right)}}$$
Now it is easy to see that if an integer combination of such terms is
zero, then the combination must be either trivial or sum to $0$ and
all monoms must be equal. Both cases imply a polynomial identically
equal to zero. So, any non-trivial integer polynomial evaluated at $x$
must be non-zero.

So, having this result in hand, now it is straightforward to calculate
higher moments of normal distribution. Here we define a container,
which does the job. In its constructor, we simply calculate Kronecker
powers of $v$ and apply $F_n$ to $\otimes^nv$. $F_n$ is, in fact, a
set of all equivalences in sense of class |Equivalence| over $2n$
elements, having $n$ classes each of them having exactly 2 elements.

@c
#ifndef NORMAL_MOMENTS_H
#define NORMAL_MOMENTS_H

#include "t_container.h"

@<|UNormalMoments| class declaration@>;
@<|FNormalMoments| class declaration@>;

#endif

@ 
@<|UNormalMoments| class declaration@>=
class UNormalMoments : public TensorContainer<URSingleTensor> {
public:@;
	UNormalMoments(int maxdim, const TwoDMatrix& v);
private:@;
	void generateMoments(int maxdim, const TwoDMatrix& v);
	static bool selectEquiv( const Equivalence& e);
};

@ 
@<|FNormalMoments| class declaration@>=
class FNormalMoments : public TensorContainer<FRSingleTensor> {
public:@;
	FNormalMoments(const UNormalMoments& moms);
};


@ End of {\tt normal\_moments.h} file.