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mniw: The Matrix-Normal Inverse-Wishart Distribution
Density evaluation and random number generation for the Matrix-Normal Inverse-Wishart (MNIW) distribution, as well as the the Matrix-Normal, Matrix-T, Wishart, and Inverse-Wishart distributions. Core calculations are implemented in a portable (header-only) C++ library, with matrix manipulations using the 'Eigen' library for linear algebra. Also provided is a Gibbs sampler for Bayesian inference on a random-effects model with multivariate normal observations.
Getting started
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Package details |
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| Author | Martin Lysy [aut, cre], Bryan Yates [aut] |
| Maintainer | Martin Lysy <mlysy@uwaterloo.ca> |
| License | GPL-3 |
| Version | 1.0.1 |
| URL | https://github.com/mlysy/mniw/ |
| Package repository | View on CRAN |
| Installation |
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