rwishart: Wishart and inverse-Wishart distributions

Description Usage Arguments Value See Also Examples

View source: R/wishart.R

Description

Generate data from Wishart and inverse-Wishart distributions using the Barlett decomposition. When simulating from the Wishart distribution and nu is an integer strictly less than p, then the functions draws from a singular Wishart distribution using multivariate normal draws.

Usage

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rwishart(n, sigma = diag(3), nu = 10, verbose = TRUE)

rinvwishart(n, psi = diag(3), nu = 10)

Arguments

n

The number of realizations.

sigma

A p by p symmetric positive definite matrix.

nu

An numeric of length one giving the degrees of freedom.

verbose

logical. Warn if draws are from a singular Wishart distribution.

psi

A square symmetric positive definite matrix.

Value

rwishart returns an p by p by n 3-dimensional array where each slice is a draw from the Wishart distribution.

For rinvwishart each slice is a draw from the inverse Wishart distribution.

See Also

rWishart from the stats-package.

Examples

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rwishart(n = 2)
rwishart(n = 3, diag(4), nu = 4)

rwishart(n = 1, diag(3), nu = 3)
rwishart(n = 1, diag(3), nu = 2)
rwishart(n = 1, diag(3), nu = 1)
rinvwishart(n = 2)

AEBilgrau/correlateR documentation built on Dec. 27, 2018, 2:32 a.m.