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.
|Author||Martin Lysy [aut, cre], Bryan Yates [aut]|
|Maintainer||Martin Lysy <firstname.lastname@example.org>|
|Package repository||View on CRAN|
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