rWishart: Random Wishart Matrix Generation
Version 0.1.0

An expansion of R's 'stats' random wishart matrix generation. This package allows the user to generate singular, Uhlig and Harald (1994) , and pseudo wishart, Diaz-Garcia, et al.(1997) , matrices. In addition the user can generate wishart matrices with fractional degrees of freedom, Adhikari (2008) , commonly used in volatility modeling. Users can also use this package to create random covariance matrices.

Getting started

Package details

AuthorBen Barnard [aut, cre], Dean Young [aut]
Date of publication2017-11-09 10:11:36 UTC
MaintainerBen Barnard <[email protected]>
Package repositoryView on CRAN
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rWishart documentation built on Nov. 17, 2017, 4:42 a.m.