dist.Normal.Wishart: Normal-Wishart Distribution

In LaplacesDemonR/LaplacesDemon: Complete Environment for Bayesian Inference

Normal-Wishart Distribution

Description

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

Usage

dnormwishart(mu, mu0, lambda, Omega, S, nu, log=FALSE) 
rnormwishart(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.
Omega	This is a k \times k precision matrix \Omega.
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, \Omega) = \mathcal{N}(\mu | \mu_0, (\lambda\Omega)^{-1}) \mathcal{W}(\Omega | \nu, \textbf{S})

• Inventors: Unknown

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

• Notation 2: p(\mu, \Omega) = \mathcal{NW}(\mu, \Omega | \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-Wishart distribution, or Gaussian-Wishart distribution, is a multivariate four-parameter continuous probability distribution. It is the conjugate prior of a multivariate normal distribution with unknown mean and precision matrix.

Value

dnormwishart gives the density and rnormwishart generates random deviates and returns a list with two components.

Author(s)

Statisticat, LLC. [e-mail]

See Also

dmvnp and dwishart.

Examples

library(LaplacesDemon)
K <- 3
mu <- rnorm(K)
mu0 <- rnorm(K)
nu <- K + 1
S <- diag(K)
lambda <- runif(1) #Real scalar
Omega <- as.positive.definite(matrix(rnorm(K^2),K,K))
x <- dnormwishart(mu, mu0, lambda, Omega, S, nu, log=TRUE)
out <- rnormwishart(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.