latent_to_iwishart: Transform latent variables to Inverse Wishart

In finnlindgren/multiprobit: Bayesian Multivariate Probit Regression

Transform latent variables to Inverse Wishart

Description

Transform latent iid N(0,1) to Inverse Wishart matrices

Transforms an Inverse Wishart matrix to latent iid N(0,1) variables

Usage

latent_to_iwishart(x, V_chol, df, lower_chol = FALSE)

latent_from_iwishart(W_chol, V_chol, df, lower_chol = FALSE)

Arguments

x	A vector of latent variables identifying the Inverse Wishart matrix, length d(d+1)/2
V_chol	Transposed inverse of the Cholesky factor of the Inverse Wishart V parameter
df	The Wishart degrees of freedom
lower_chol	TRUE if lower triangular Cholesky factors are used (default = FALSE)
W_chol	The Cholesky factor of the Inverse Wishart matrix

Value

A list with components

W_chol	The Cholesky factor of the Inverse Wishart matrix
B_chol	The inner Cholesky factor of the inverse Barlett decomposition

When lower_chol is FALSE, W_chol is ⁠B_chol \%*\% V_chol⁠, otherwise ⁠V_chol \%*\% B_chol⁠.

A list with components

x	A vector of latent variables identifying the Wishart matrix, length d(d+1)/2
B_chol	The inner Cholesky factor of the inverse Barlett decomposition

Note

This is an internal non-exported function

This is an internal non-exported function

Author(s)

Finn Lindgren

Finn Lindgren

Examples

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if (interactive()) {
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## Not run: 
if (interactive()) {
  # EXAMPLE1
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finnlindgren/multiprobit documentation built on June 14, 2025, 1:12 p.m.