dwishart: Wishart distribution

In oeli: Utilities for Developing Data Science Software

Wishart distribution

Description

The function dwishart() computes the density of a Wishart distribution.

The function rwishart() samples from a Wishart distribution.

The functions with suffix ⁠_cpp⁠ perform no input checks, hence are faster.

Usage

dwishart_cpp(x, df, scale, log = FALSE, inv = FALSE)

rwishart_cpp(df, scale, inv = FALSE)

dwishart(x, df, scale, log = FALSE, inv = FALSE)

rwishart(df, scale, inv = FALSE)

Arguments

x	[matrix()] A covariance matrix of dimension p.
df	[integer()] The degrees of freedom greater of equal p.
scale	[matrix()] The scale covariance matrix of dimension p.
log	[logical(1)] Return the logarithm of the density value?
inv	[logical(1)] Use this inverse Wishart distribution?

Value

For dwishart(): The density value.

For rwishart(): A matrix, the random draw.

See Also

Other simulation helpers: correlated_regressors(), ddirichlet_cpp(), dmvnorm_cpp(), dtnorm_cpp(), simulate_markov_chain()

Examples

x <- diag(2)
df <- 4
scale <- diag(2)

# compute density
dwishart(x = x, df = df, scale = scale)
dwishart(x = x, df = df, scale = scale, log = TRUE)
dwishart(x = x, df = df, scale = scale, inv = TRUE)

# sample
rwishart(df = df, scale = scale)
rwishart(df = df, scale = scale, inv = TRUE)

oeli documentation built on April 3, 2025, 9:29 p.m.