rwish: Wishart simulation.
In tensr: Covariance Inference and Decompositions for Tensor Datasets

Simulate a Wishart-distributed random matrix.

1	rwish(S0, nu = dim(as.matrix(S0))[1] + 1)

`S0`	a positive definite matrix.
`nu`	a positive scalar.

This function simulates a Wishart random matrix using Bartletts decomposition, as described in Everson and Morris (2000).

Peter Hoff.

# simulate several matrices and compute the mean.
SS <- matrix(0, 5, 5)
for(s in 1:1000) { SS <- SS + tensr:::rwish(diag(5), 3) }
SS / s

tensr documentation built on May 2, 2019, 2:32 p.m.

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