lmvgamma

mvgamma

A special mathematical function related to the gamma function,
 generalized for multivariate gammas. <code>lmvgamma</code> is the log of the
 multivariate gamma, <code>mvgamma</code>.
The multivariate gamma function for a dimension p is defined as:
$$\Gamma_{p}(a)=\pi^{p(p-1)/4}\prod_{j=1}^{p}
 \Gamma [a+(1-j)/2]$$
 For $p = 1$, this is the same as the usual gamma function.

Sampling from the Cholesky factorization of a Wishart random
variable, sampling from the inverse Wishart distribution, sampling from
the Cholesky factorization of an inverse Wishart random variable, sampling
from the pseudo Wishart distribution, sampling from the generalized
inverse Wishart distribution, computing densities for the Wishart
and inverse Wishart distributions, and computing the multivariate gamma
and digamma functions. Provides a header file so the C functions can be
called directly from other programs.

Geoffrey Thompson

CholWishart

Cholesky Decomposition of the Wishart Distribution

R Core Team 

lmvgamma function

<dl><dt>x</dt>
<dd>non-negative numeric vector, matrix, or array</dd>
<dt>p</dt>
<dd>positive integer, dimension of a square matrix</dd></dl>

Arguments

<ul>
<li><code>mvgamma()</code>: Multivariate gamma function.</li>
</ul>

Functions

Multivariate Gamma Function — lmvgamma

<dl>

<dt>x</dt>
<dd>non-negative numeric vector, matrix, or array</dd>


<dt>p</dt>
<dd>positive integer, dimension of a square matrix</dd>

</dl>

lmvgamma: Multivariate Gamma Function

Description

Usage

Value

Arguments

Functions

References

See Also

Examples