wishartTest: Test if Matrix is a Wishart Matrix

In rWishart: Random Wishart Matrix Generation

Description

Given a random Wishart matrix, B, from W_p(Sigma, df) and independent random vector a, then (a' B a) / (a' Sigma a) is chi-squared with df degrees of freedom.

Usage

wishartTest(WishMat, Sigma, vec = NULL)

Arguments

WishMat	random Wishart Matrix from W_p(Sigma, df)
Sigma	Covariance matrix for W_p(Sigma, df)
vec	independent random vector

Value

A chi-squared random variable with df degrees of freedom.

Examples

wishartTest(rWishart(1, 5, diag(1, 20), simplify = FALSE)[[1]], diag(1, 20))

Example output

Attaching package: ‘rWishart’

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

    rWishart

        [,1]
[1,] 5.92045

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