Wishart: The Wishart Distribution

Description Usage Arguments Details Value Author(s) References See Also Examples

Description

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

Usage

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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

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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 May 23, 2021, 5:07 p.m.