Wishart simulation.

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Description

Simulate a Wishart-distributed random matrix.

Usage

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

Arguments

S0

a positive definite matrix.

nu

a positive scalar.

Details

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

Author(s)

Peter Hoff.

Examples

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# 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

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