FractionalWishart: Fractional Wishart Helper Function

In rWishart: Random Wishart Matrix Generation

Description

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.

Generate n random matrices, distributed according to the Wishart distribution with parameters Sigma and df, W_p(Sigma, df).

Usage

FractionalWishart(df, Sigma, covariance = FALSE)

Arguments

df	numeric parameter, “degrees of freedom”.
Sigma	positive definite (p * p) “scale” matrix, the matrix parameter of the distribution.
covariance	logical on whether a covariance matrix should be generated

Details

If X_1, ..., X_m is a sample of m independent multivariate Gaussians with mean vector 0, and covariance matrix Sigma, the distribution of M = X'X is W_p(Sigma, m).

Value

A numeric array of dimension p * p * n, where each array is a positive semidefinite matrix, a realization of the Wishart distribution W_p(Sigma, df)

Examples

FractionalWishart(22.5, diag(1, 20))

rWishart documentation built on Nov. 20, 2019, 1:07 a.m.