rwishart: Wishart and inverse-Wishart distributions

In AEBilgrau/correlateR: Fast correlations and covariances

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

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 and 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

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 Nov. 15, 2019, 9:21 a.m.