Density function and random generation from the Inverse Wishart distribution.
riwish(v, S)diwish(W, v, S)
diwish(W, v, S)
diwish evaluates the density at positive definite matrix W. riwish generates one random draw from the distribution.
diwish
riwish
Degrees of freedom (scalar).
Scale matrix \((p \times p)\).
Positive definite matrix W \((p \times p)\).
The mean of an inverse Wishart random variable with v degrees of freedom and scale matrix S is \((v-p-1)^{-1}S\).
v
S
density <- diwish(matrix(c(2,-.3,-.3,4),2,2), 3, matrix(c(1,.3,.3,1),2,2)) draw <- riwish(3, matrix(c(1,.3,.3,1),2,2))
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