IW_var_cor: Compute theoretical Inverse-Wishart variance of correlation matrix elements
Description
Compute theoretical Inverse-Wishart variance of correlation matrix elements
Usage
IW_var_cor(nu, p, xbar_ij)
Value
Theoretical IW variance for correlation element (i,j)
Arguments
- nu
Inverse Wishart degrees of freedom parameter
- p
Matrix dimension for IW distribution
- xbar_ij
Empirical mean of covariance matrices at element (i,j)