rIW: Random Generation from the Conditional Inverse Wishart Distribution
Description
Samples from the inverse Wishart distribution, with the possibility
of conditioning on a diagonal submatrix
Usage
rIW(nu,V,split=NULL, n=1)
Arguments
nu
degrees of freedom
V
inverse scale matrix
split
optional integer indexing the partition to be conditioned on
n
integer: number of samples to be drawn
Value
if n = 1 a matrix equal in dimension to V, if n>1 a
matrix of dimension n x length(V)
Details
split indexes the diagonal element of V which partitions V
into 4 submatrices. split indexes the upper left corner of the lower
diagonal matrix and it is this matrix that is conditioned on.
For example partioning V such that
$${\bf V} = \left[
\begin{array}{cc}
{\bf V}_{11}&{\bf V}_{12}\
{\bf V}_{21}&{\bf V}_{12}\
\end{array}
\right]$$
$$$$
the split indexes the upper left corner of ${\bf V}_{22}$. If
dim(V)=4 and split=2 then ${\bf V}_{11}$ is a 1X1 matrix
and V22 is a 3X3 matrix.