rmirror_wishart: Sample from the mirror-Wishart distribution.

In dcgerard/tensr: Covariance Inference and Decompositions for Tensor Datasets

Sample from the mirror-Wishart distribution.

Description

Given scale matrix Phi and degrees of freedom nu, rmirror_wishart will sample from the mirror-Wishart distribution.

Usage

rmirror_wishart(nu, Phi)

Arguments

nu	An integer. The degrees of freedom in the mirror-Wishart.
Phi	A matrix. The scale matrix of the mirror-Wishart.

Details

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).

Value

A matrix drawn from the mirror-Wishart distribution with nu degrees of freedom and scale matrix Phi.

Author(s)

David Gerard.

References

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

See Also

sample_right_wishart

dcgerard/tensr documentation built on Oct. 4, 2022, 5:58 p.m.