rwish | R Documentation |
Generates random matrices, distributed according to the Wishart distribution with parameters b and D, W(b, D).
rwish( n = 1, p = 2, b = 3, D = diag( p ) )
n |
number of samples required. |
p |
number of variables (nodes). |
b |
degree of freedom for Wishart distribution, W(b, D). |
D |
positive definite (p \times p) "scale" matrix for Wishart distribution, W(b, D). The default is an identity matrix. |
Sampling from Wishart distribution, K \sim W(b, D), with density:
Pr(K) \propto |K| ^ {(b - 2) / 2} \exp ≤ft\{- \frac{1}{2} \mbox{trace}(K \times D)\right\},
which b > 2 is the degree of freedom and D is a symmetric positive definite matrix.
A numeric array, say A, of dimension (p \times p \times n), where each A[,,i] is a positive definite matrix, a realization of the Wishart distribution W(b, D). Note, for the case n=1, the output is a matrix.
Reza Mohammadi a.mohammadi@uva.nl
Lenkoski, A. (2013). A direct sampler for G-Wishart variates, Stat, 2:119-128, doi: 10.1002/sta4.23
Mohammadi, R. and Wit, E. C. (2019). BDgraph: An R
Package for Bayesian Structure Learning in Graphical Models, Journal of Statistical Software, 89(3):1-30, doi: 10.18637/jss.v089.i03
gnorm
, rgwish
sample <- rwish( n = 3, p = 5, b = 3, D = diag( 5 ) ) round( sample, 2 )
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