bayesm (version 3.1-6)

rwishart: Draw from Wishart and Inverted Wishart Distribution

Description

rwishart draws from the Wishart and Inverted Wishart distributions.

Usage

rwishart(nu, V)

Value

A list containing:

W:

Wishart draw

IW:

Inverted Wishart draw

C:

Upper tri root of W

CI:

inv(C), \(W^{-1}\) = CICI'

Arguments

nu

d.f. parameter

V

pds location matrix

Warning

This routine is a utility routine that does not check the input arguments for proper dimensions and type.

Author

Peter Rossi, Anderson School, UCLA, .

Details

In the parameterization used here, \(W\) \(\sim\) \(W(nu,V)\) with \(E[W]=nuV\).

If you want to use an Inverted Wishart prior, you must invert the location matrix before calling rwishart, e.g.
\(\Sigma\) \(\sim\) IW(nu ,V); \(\Sigma^{-1}\) \(\sim\) \(W(nu, V^{-1})\).

References

For further discussion, see Chapter 2, Bayesian Statistics and Marketing by Rossi, Allenby, and McCulloch.

Examples

set.seed(66)
rwishart(5,diag(3))$IW