mniw-package: Tools for the Matrix-Normal Inverse-Wishart distribution.

In mniw: The Matrix-Normal Inverse-Wishart Distribution

Tools for the Matrix-Normal Inverse-Wishart distribution.

Description

Density evaluation and random number generation for the Matrix-Normal Inverse-Wishart (MNIW) distribution, as well as its constituent distributions, i.e., the Matrix-Normal, Matrix-T, Wishart, and Inverse-Wishart distributions.

Details

The Matrix-Normal Inverse-Wishart (MNIW) distribution (X, V) ~ MNIW(Λ, Σ, Ψ, ν) on random matrices X_(p x q) and symmetric positive-definite V_(q x q) is defined as

V ~ Inverse-Wishart(Ψ, ν) X | V ~ Matrix-Normal(Λ, Σ, V),

where the Matrix-Normal distribution is defined as the multivariate normal

vec(X) ~ N(vec(Λ), V %x% Σ),

where vec(X) is a vector stacking the columns of X, and V %x% Σ denotes the Kronecker product.

Author(s)

Maintainer: Martin Lysy [e-mail]

Authors:

• Bryan Yates

See Also

Useful links:

• https://github.com/mlysy/mniw/

• Report bugs at https://github.com/mlysy/mniw/issues

mniw documentation built on Aug. 22, 2022, 5:05 p.m.