rNonsingularWishart: Random Nonsingular Wishart Matrix

In rWishart: Random Wishart Matrix Generation

Description

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

Usage

rNonsingularWishart(n, df, Sigma, covariance = FALSE,
  simplify = "array")

Arguments

n	integer: the number of replications.
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
simplify	logical or character string; should the result be simplified to a vector, matrix or higher dimensional array if possible? For sapply it must be named and not abbreviated. The default value, TRUE, returns a vector or matrix if appropriate, whereas if simplify = "array" the result may be an array of “rank” (=length(dim(.))) one higher than the result of FUN(X[[i]]).

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

rNonsingularWishart(2, 20, diag(1, 5))

Example output

Attaching package: ‘rWishart’

The following object is masked from ‘package:stats’:

    rWishart

, , 1

          [,1]      [,2]      [,3]      [,4]      [,5]
[1,] 27.570534  7.884664  8.059230  6.589777 -4.581074
[2,]  7.884664 17.299404  2.899076 -3.231619  1.760020
[3,]  8.059230  2.899076 21.751498 -5.333127  4.665002
[4,]  6.589777 -3.231619 -5.333127 16.180899 -7.651389
[5,] -4.581074  1.760020  4.665002 -7.651389 16.212315

, , 2

          [,1]       [,2]      [,3]      [,4]       [,5]
[1,] 11.334864 -4.9732218 -0.986789 -5.046448 -0.1582060
[2,] -4.973222 23.4980530  3.100825  2.157272  0.5676472
[3,] -0.986789  3.1008247 15.902792  8.213986 -1.5938394
[4,] -5.046448  2.1572722  8.213986 30.593981  2.2248252
[5,] -0.158206  0.5676472 -1.593839  2.224825 18.2645161

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