sample_right_wishart: Gibbs update of 'Phi_inv'.
In tensr: Covariance Inference and Decompositions for Tensor Datasets

Description Usage Arguments Details Value Author(s) References See Also

Samples an upper triangular Cholesky square root of a mirror-Wishart distributed random variable.

1	sample_right_wishart(nu, V)

`nu`	A numeric. The degrees of freedom in the mirror-Wishart.
`V`	A matrix. The inverse of the scale matrix in the mirror-Wishart.

Let X be mirror-Wishart(ν, V^-1). Then This code returns an upper triangular C where X = CC'. This function is used primarily during the Gibbs updates of the inverse of the lower triangular Cholesky square root of the component covariance matrices in equi_mcmc.

C An upper triangular matrix such that C %*% t(C) is a sample from the mirror-Wishart(nu, V ^ -1) distribution.

David Gerard.

Gerard, D., & Hoff, P. (2015). Equivariant minimax dominators of the MLE in the array normal model. Journal of Multivariate Analysis, 137, 32-49. https://doi.org/10.1016/j.jmva.2015.01.020 http://arxiv.org/pdf/1408.0424.pdf

equi_mcmc, rmirror_wishart.

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