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rWishart: Random Wishart Matrix Generation
An expansion of R's 'stats' random wishart matrix generation. This package allows the user to generate singular, Uhlig and Harald (1994) <doi:10.1214/aos/1176325375>, and pseudo wishart, Diaz-Garcia, et al.(1997) <doi:10.1006/jmva.1997.1689>, matrices. In addition the user can generate wishart matrices with fractional degrees of freedom, Adhikari (2008) <doi:10.1061/(ASCE)0733-9399(2008)134:12(1029)>, commonly used in volatility modeling. Users can also use this package to create random covariance matrices.
Getting started
Browse package contents
Package details |
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| Author | Ben Barnard [aut, cre], Dean Young [aut] |
| Maintainer | Ben Barnard <benbarnard87@gmail.com> |
| License | GPL-2 |
| Version | 0.1.2 |
| URL | https://rwishart.bearstatistics.com |
| Package repository | View on CRAN |
| Installation |
Install the latest version of this package by entering the following in R:
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