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

Package details

AuthorBen Barnard [aut, cre], Dean Young [aut]
MaintainerORPHANED
LicenseGPL-2
Version0.1.1
URL https://rwishart.bearstatistics.com
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("rWishart")

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rWishart documentation built on May 2, 2019, 9:57 a.m.