Description Usage Arguments Value See Also Examples
This function implements pseudo-random number generation for a Wishart distribution with pdf
f(x|ν,Σ)=(2^{ν d/2}π^{d(d-1)/4}∏_{i=1}^{d}Γ((ν+1-i)/2))^{-1}|Σ|^{-ν/2}|x|^{(ν-d-1)/2}\exp(-\frac{1}{2}tr(Σ^{-1}x))
x is positive definite, ν ≥q d, and Σ is symmetric and positive definite, where ν and Σ are positive definite and the scale matrix, respectively.
1 | draw.wishart(no.row,d,nu,sigma)
|
no.row |
Number of rows to generate. |
d |
Number of variables to generate. |
nu |
Degrees of freedom. |
sigma |
Scale matrix. |
A no.row \times d^2 matrix of Wishart deviates in the form of rows.To obtain the Wishart matrix, convert each row to a matrix where rows are filled first.
1 2 |
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