CholWishart (version 1.1.4)

rInvWishart: Random Inverse Wishart Distributed Matrices

Description

Generate n random matrices, distributed according to the inverse Wishart distribution with parameters Sigma and df, $W_p(Sigma,df)$.

Note there are different ways of parameterizing the Inverse Wishart distribution, so check which one you need. Here, if $X\sim I{W}_p(\mathrm{\Sigma },\nu )$ then $X^{-1}\sim W_p({\mathrm{\Sigma }}^{-1},\nu )$. Dawid (1981) has a different definition: if $X\sim W_p({\mathrm{\Sigma }}^{-1},\nu )$ and $\nu >p-1$, then $X^{-1}=Y\sim IW(\mathrm{\Sigma },\delta )$, where $\delta =\nu -p+1$.

Usage

rInvWishart(n, df, Sigma)

Value

a numeric array, say R, of dimension $p\times p\times n$, where each R[,,i] is a realization of the inverse Wishart distribution $I{W}_p(Sigma,df)$. Based on a modification of the existing code for the rWishart

function.

Arguments

n

integer sample size.

df

numeric parameter, "degrees of freedom".

Sigma

positive definite $p\times p$ "scale" matrix, the matrix parameter of the distribution.

References

Dawid, A. (1981). Some Matrix-Variate Distribution Theory: Notational Considerations and a Bayesian Application. Biometrika, 68(1), 265-274. tools:::Rd_expr_doi("10.2307/2335827")

Gupta, A. K. and D. K. Nagar (1999). Matrix variate distributions. Chapman and Hall.

Mardia, K. V., J. T. Kent, and J. M. Bibby (1979) Multivariate Analysis, London: Academic Press.

See Also

rWishart, rCholWishart, and rInvCholWishart

Examples

set.seed(20180221)
A <- rInvWishart(1L, 10, 5 * diag(5L))[, , 1]
set.seed(20180221)
B <- stats::rWishart(1L, 10, .2 * diag(5L))[, , 1]

A %*% B