dist.Normal.Inverse.Wishart: Normal-Inverse-Wishart Distribution

In LaplacesDemonR/LaplacesDemon: Complete Environment for Bayesian Inference

Normal-Inverse-Wishart Distribution

Description

These functions provide the density and random number generation for the normal-inverse-Wishart distribution.

Usage

dnorminvwishart(mu, mu0, lambda, Sigma, S, nu, log=FALSE) 
rnorminvwishart(n=1, mu0, lambda, S, nu)

Arguments

mu	This is data or parameters in the form of a vector of length k or a matrix with k columns.
mu0	This is mean vector \mu_0 with length k or matrix with k columns.
lambda	This is a positive-only scalar.
n	This is the number of random draws.
nu	This is the scalar degrees of freedom \nu.
Sigma	This is a k \times k covariance matrix \Sigma.
S	This is the symmetric, positive-semidefinite, k \times k scale matrix \textbf{S}.
log	Logical. If log=TRUE, then the logarithm of the density is returned.

Details

• Application: Continuous Multivariate

• Density: p(\mu, \Sigma) = \mathcal{N}(\mu | \mu_0, \frac{1}{\lambda}\Sigma) \mathcal{W}^{-1}(\Sigma | \nu, \textbf{S})

• Inventors: Unknown

• Notation 1: (\mu, \Sigma) \sim \mathcal{NIW}(\mu_0, \lambda, \textbf{S}, \nu)

• Notation 2: p(\mu, \Sigma) = \mathcal{NIW}(\mu, \Sigma | \mu_0, \lambda, \textbf{S}, \nu)

• Parameter 1: location vector \mu_0

• Parameter 2: \lambda > 0

• Parameter 3: symmetric, positive-semidefinite k \times k scale matrix \textbf{S}

• Parameter 4: degrees of freedom \nu \ge k

• Mean: Unknown

• Variance: Unknown

• Mode: Unknown

The normal-inverse-Wishart distribution, or Gaussian-inverse-Wishart distribution, is a multivariate four-parameter continuous probability distribution. It is the conjugate prior of a multivariate normal distribution with unknown mean and covariance matrix.

Value

dnorminvwishart gives the density and rnorminvwishart generates random deviates and returns a list with two components.

Author(s)

Statisticat, LLC. [e-mail]

See Also

dmvn and dinvwishart.

Examples

library(LaplacesDemon)
K <- 3
mu <- rnorm(K)
mu0 <- rnorm(K)
nu <- K + 1
S <- diag(K)
lambda <- runif(1) #Real scalar
Sigma <- as.positive.definite(matrix(rnorm(K^2),K,K))
x <- dnorminvwishart(mu, mu0, lambda, Sigma, S, nu, log=TRUE)
out <- rnorminvwishart(n=10, mu0, lambda, S, nu)
joint.density.plot(out$mu[,1], out$mu[,2], color=TRUE)

LaplacesDemonR/LaplacesDemon documentation built on April 1, 2024, 7:22 a.m.