Description Usage Arguments Details Value Functions References Examples
Compute the density of an observation of a random Wishart distributed matrix
(dWishart
) or an observation
from the inverse Wishart distribution (dInvWishart
).
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x |
positive definite p * p observations for density estimation - either one matrix or a 3-D array. |
df |
numeric parameter, "degrees of freedom". |
Sigma |
positive definite p * p "scale" matrix, the matrix parameter of the distribution. |
log |
logical, whether to return value on the log scale. |
Note there are different ways of parameterizing the Inverse Wishart distribution, so check which one you need. Here, If X ~ IW_p(Sigma, df) then X^{-1} ~ W_p(Sigma^{-1}, df). Dawid (1981) has a different definition: if X ~ W_p(Sigma^{-1}, df) and df > p - 1, then X^{-1} = Y ~ IW(Sigma, delta), where delta = df - p + 1.
Density or log of density
dInvWishart
: density for the inverse Wishart distribution.
Dawid, A. (1981). Some Matrix-Variate Distribution Theory: Notational Considerations and a Bayesian Application. Biometrika, 68(1), 265-274. doi: 10.2307/2335827
Gupta, A. K. and D. K. Nagar (1999). Matrix variate distributions. Chapman and Hall.
Mardia, K. V., J. T. Kent, and J. M. Bibby (1979) Multivariate Analysis, London: Academic Press.
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