Draw from Wishart and Inverted Wishart Distribution

Description

rwishart draws from the Wishart and Inverted Wishart distributions.

Usage

1
rwishart(nu, V)

Arguments

nu

d.f. parameter

V

pds location matrix

Details

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

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

Value

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, perossichi@gmail.com.

References

For further discussion, see Bayesian Statistics and Marketing by Rossi, Allenby and McCulloch, Chapter 2.
http://www.perossi.org/home/bsm-1

Examples

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

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