rIW | R Documentation |
Samples from the inverse Wishart distribution, with the possibility of conditioning on a diagonal submatrix
rIW(V, nu, fix=NULL, n=1, CM=NULL)
V |
Expected (co)varaince matrix as |
nu |
degrees of freedom |
fix |
optional integer indexing the partition to be conditioned on |
n |
integer: number of samples to be drawn |
CM |
matrix: optional matrix to condition on. If not given, and |
If {\bf W^{-1}}
is a draw from the inverse Wishart, fix
indexes the diagonal element of {\bf W^{-1}}
which partitions {\bf W^{-1}}
into 4 submatrices. fix
indexes the upper left corner of the lower
diagonal matrix and it is this matrix that is conditioned on.
For example partioning {\bf W^{-1}}
such that
{\bf W^{-1}} = \left[
\begin{array}{cc}
{\bf W^{-1}}_{11}&{\bf W^{-1}}_{12}\\
{\bf W^{-1}}_{21}&{\bf W^{-1}}_{22}\\
\end{array}
\right]
fix indexes the upper left corner of {\bf W^{-1}}_{22}
. If CM!=NULL
then {\bf W^{-1}}_{22}
is fixed at CM
, otherwise {\bf W^{-1}}_{22}
is fixed at \texttt{V}_{22}
. For example, if dim(V)
=4 and fix=2
then {\bf W^{-1}}_{11}
is a 1X1 matrix and {\bf W^{-1}}_{22}
is a 3X3 matrix.
if n
= 1 a matrix equal in dimension to V
, if n
>1 a
matrix of dimension n
x length(V)
In versions of MCMCglmm >1.10 the arguments to rIW
have changed so that they are more intuitive in the context of MCMCglmm
. Following the notation of Wikipedia (https://en.wikipedia.org/wiki/Inverse-Wishart_distribution) the inverse scale matrix {\bm \Psi}=(\texttt{V*nu})
. In earlier versions of MCMCglmm (<1.11) {\bm \Psi} = \texttt{V}^{-1}
. Although the old parameterisation is consistent with the riwish
function in MCMCpack and the rwishart
function in bayesm it is inconsistent with the prior definition for MCMCglmm
. The following pieces of code are sampling from the same distributions:
riwish(nu, nu*V) | from MCMCpack |
rwishart(nu, solve(nu*V))$IW | from bayesm |
rIW(nu, solve(nu*V)) | from MCMCglmm <1.11 |
rIW(V, nu) | from MCMCglmm >=1.11 |
Jarrod Hadfield j.hadfield@ed.ac.uk
Korsgaard, I.R. et. al. 1999 Genetics Selection Evolution 31 (2) 177:181
rwishart
, rwish
nu<-10
V<-diag(4)
rIW(V, nu, fix=2)
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