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bayesm (version 1.1-2)

rwishart: Draw from Wishart and Inverted Wishart Distribution

Description

rwishart draws from the Wishart and Inverted Wishart distributions.

Usage

rwishart(nu, V)

Arguments

nu
d.f. parameter
V
pds location matrix

Value

  • WWishart draw
  • IWInverted Wishart draw
  • CUpper tri root of W
  • CIinv(C), $W^{-1}$ = CICI'

concept

  • Wishart distribution
  • Inverted Wishart
  • simulation

Warning

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

Details

In the parameterization used here, $W$ $\sim$ $W(nu,V)$, $E[W]=nuV$. 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 Bayesian Statistics and Marketing by Allenby, McCulloch, and Rossi, Chapter 2. http://gsbwww.uchicago.edu/fac/peter.rossi/research/bsm.html

Examples

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

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