The Inverse Wishart Distribution
Density function and random generation from the Inverse Wishart distribution.
riwish(v, S) diwish(W, v, S)
v |
Degrees of freedom (scalar). |
S |
Scale matrix (p \times p). |
W |
Positive definite matrix W (p \times p). |
The mean of an inverse Wishart random variable with v degrees of
freedom and scale matrix S is (v-p-1)^{-1}S.
diwish evaluates the density at positive definite matrix W.
riwish generates one random draw from the distribution.
density <- diwish(matrix(c(2,-.3,-.3,4),2,2), 3, matrix(c(1,.3,.3,1),2,2)) draw <- riwish(3, matrix(c(1,.3,.3,1),2,2))
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