wishart | R Documentation |
Returns an observation drawn from the complex Wishart distribution. To
sample from the inverse complex Wishart distribution (or indeed the
complex inverse Wishart distribution), use solve(rcwis(...))
.
rcwis(n, S)
n |
Integer; degrees of freedom |
S |
Variance matrix. If an integer, use |
Returns a (semi-) positive definite Hermitian matrix the same size as
argument S
The first argument of rcwis()
is n
, by universal
statistics convention. But in the R world, functions returning random
observations (such as runif()
) generally reserve argument
n
for the number of observations to return. Although
rchisq()
uses df
for the number of degrees of freedom.
Robin K. S. Hankin
rcwis(10,2)
eigen(rcwis(7,3),TRUE,TRUE) # all positive
eigen(rcwis(3,7),TRUE,TRUE) # 4 positive, 3 zero
rcwis(10,rcwis(10,3))
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