matdist: Matrix Variate Distributions

In matdist: Matrix Variate Distributions

Description

matdist provides tools for computing densities and generating samples from matrix variate distributions, including matrix normal, Wishart, matrix t, matrix Dirichlet, matrix beta distributions. Special cases and automatic rank adjustments are not yet supported. For detailed discussion, we refer to a book with thorough description by Gupta and Nagar (1999).

Composition

Current version involves following distributions,

mxDir

matrix Dirichlet distribution

mxWishart

Wishart distribution

mxbeta

matrix Beta distribution

mxnorm

matrix Normal distribution

mxt

matrix t-distribution

For each function, currently we support prefix d and r for density evaluation and random generation, respectively.

References

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thebookmatdist

matdist documentation built on Dec. 8, 2017, 1:05 a.m.