Given scale matrix
Phi and degrees of freedom
rmirror_wishart will sample from the mirror-Wishart distribution.
An integer. The degrees of freedom in the mirror-Wishart.
A matrix. The scale matrix of the mirror-Wishart.
S is mirror-Wishart(ν,Φ) if
S = UV'VU',
where VV' is the lower triangular Cholesky decomposition of a Wishart(ν,I)-distributed random matrix and UU' is the upper triangular Cholesky decomposition of Φ. That is, V is lower triangular and U is upper triangular. For details on its applications, see Gerard and Hoff (2015).
A matrix drawn from the mirror-Wishart distribution with
degrees of freedom and scale matrix
Gerard, D., & Hoff, P. (2015). Equivariant minimax dominators of the MLE in the array normal model. Journal of Multivariate Analysis, 137, 32-49. https://doi.org/10.1016/j.jmva.2015.01.020 http://arxiv.org/pdf/1408.0424.pdf
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