Draw from Wishart and Inverted Wishart Distribution
rwishart draws from the Wishart and Inverted Wishart distributions.
rwishart(nu, V)
nu |
d.f. parameter |
V |
pds location matrix |
In the parameterization used here, W ~ W(nu,V) with E[W]=nuV.
If you want to use an Inverted Wishart prior, you must invert the location matrix
before calling rwishart, e.g.
Σ ~ IW(nu ,V); Σ^{-1} ~ W(nu, V^{-1}).
A list containing:
W: |
Wishart draw |
IW: |
Inverted Wishart draw |
C: |
Upper tri root of W |
CI: |
inv(C), W^{-1} = CICI' |
This routine is a utility routine that does not check the input arguments for proper dimensions and type.
Peter Rossi, Anderson School, UCLA, perossichi@gmail.com.
For further discussion, see Chapter 2, Bayesian Statistics and Marketing by Rossi, Allenby, and McCulloch.
http://www.perossi.org/home/bsm-1
set.seed(66) rwishart(5,diag(3))$IW
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