Generate n random matrices, distributed according
to the pseudo Wishart distribution with parameters
df, W_p(Sigma, df), with sample size
df less than the dimension
Let X_i, i = 1, 2, ..., df be
observations of a multivariate normal distribution with mean 0 and
Sigma. Then ∑ X_i X_i' is distributed as a pseudo
Wishart W_p(Sigma, df). Sometimes this is called a
singular Wishart distribution, however, that can be confused with the case
where Sigma itself is singular. If cases with a singular
Sigma are desired, this function cannot provide them.
integer sample size.
integer parameter, "degrees of freedom", should be less than the
positive definite (p * p) "scale" matrix, the matrix parameter of the distribution.
a numeric array, say
R, of dimension
p * p * n,
R[,,i] is a realization of the pseudo Wishart
distribution W_p(Sigma, df).
Diaz-Garcia, Jose A, Ramon Gutierrez Jaimez, and Kanti V Mardia. 1997. “Wishart and Pseudo-Wishart Distributions and Some Applications to Shape Theory.” Journal of Multivariate Analysis 63 (1): 73–87. doi: 10.1006/jmva.1997.1689.
Uhlig, Harald. "On Singular Wishart and Singular Multivariate Beta Distributions." Ann. Statist. 22 (1994), no. 1, 395–405. doi: 10.1214/aos/1176325375.
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