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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 |
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Author | Martin Lysy [aut, cre], Bryan Yates [aut] |
Maintainer | Martin Lysy <mlysy@uwaterloo.ca> |
License | GPL-3 |
Version | 1.0.2 |
URL | https://github.com/mlysy/mniw/ https://mlysy.github.io/mniw/ |
Package repository | View on CRAN |
Installation |
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