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.

Package details

AuthorMartin Lysy [aut, cre], Bryan Yates [aut]
MaintainerMartin Lysy <mlysy@uwaterloo.ca>
LicenseGPL-3
Version1.0
URL https://github.com/mlysy/mniw/
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("mniw")

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mniw documentation built on Oct. 9, 2019, 5:04 p.m.