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