CholWishart: Cholesky Decomposition of the Wishart Distribution

Sampling from the Cholesky factorization of a Wishart random variable, sampling from the inverse Wishart distribution, sampling from the Cholesky factorization of an inverse Wishart random variable, sampling from the pseudo Wishart distribution, sampling from the generalized inverse Wishart distribution, computing densities for the Wishart and inverse Wishart distributions, and computing the multivariate gamma and digamma functions. Provides a header file so the C functions can be called directly from other programs.

Package details

AuthorGeoffrey Thompson [aut, cre] (<https://orcid.org/0000-0003-2436-8822>), R Core Team [ctb]
MaintainerGeoffrey Thompson <gzthompson@gmail.com>
LicenseGPL (>= 3)
Version1.1.0
URL https://github.com/gzt/CholWishart https://gzt.github.io/CholWishart
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("CholWishart")

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CholWishart documentation built on Nov. 14, 2019, 9:06 a.m.