Wishart: The Wishart Distribution

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The Wishart Distribution

Description

Density and random generation for the Wishart distribution, using the Cholesky factor of either the scale matrix or the rate matrix.

Usage

dwish_chol(x, cholesky, df, scale_param = TRUE, log = FALSE)

rwish_chol(n = 1, cholesky, df, scale_param = TRUE)

Arguments

x	vector of values.
cholesky	upper-triangular Cholesky factor of either the scale matrix (when scale_param is TRUE) or rate matrix (otherwise).
df	degrees of freedom.
scale_param	logical; if TRUE the Cholesky factor is that of the scale matrix; otherwise, of the rate matrix.
log	logical; if TRUE, probability density is returned on the log scale.
n	number of observations (only n=1 is handled currently).

Details

See Gelman et al., Appendix A or the BUGS manual for mathematical details. The rate matrix as used here is defined as the inverse of the scale matrix, S^{-1}, given in Gelman et al.

Value

dwish_chol gives the density and rwish_chol generates random deviates.

Author(s)

Christopher Paciorek

References

Gelman, A., Carlin, J.B., Stern, H.S., and Rubin, D.B. (2004) Bayesian Data Analysis, 2nd ed. Chapman and Hall/CRC.

See Also

Distributions for other standard distributions

Examples

df <- 40
ch <- chol(matrix(c(1, .7, .7, 1), 2))
x <- rwish_chol(1, ch, df = df)
dwish_chol(x, ch, df = df)

nimble documentation built on Sept. 11, 2024, 7:10 p.m.