rwishart: Draw from Wishart and Inverted Wishart Distribution

In bayesm: Bayesian Inference for Marketing/Micro-Econometrics

Draw from Wishart and Inverted Wishart Distribution

Description

rwishart draws from the Wishart and Inverted Wishart distributions.

Usage

rwishart(nu, V)

Arguments

nu	d.f. parameter
V	pds location matrix

Details

In the parameterization used here, W \sim W(nu,V) with E[W]=nuV.

If you want to use an Inverted Wishart prior, you must invert the location matrix before calling rwishart, e.g.
\Sigma \sim IW(nu ,V); \Sigma^{-1} \sim W(nu, V^{-1}).

Value

A list containing:

W:	Wishart draw
IW:	Inverted Wishart draw
C:	Upper tri root of W
CI:	inv(C), W^{-1} = CICI'

Warning

This routine is a utility routine that does not check the input arguments for proper dimensions and type.

Author(s)

Peter Rossi, Anderson School, UCLA, [e-mail].

References

For further discussion, see Chapter 2, Bayesian Statistics and Marketing by Rossi, Allenby, and McCulloch.

Examples

set.seed(66)
rwishart(5,diag(3))$IW

bayesm documentation built on Sept. 24, 2023, 1:07 a.m.