Density function and random generation from the Inverse Wishart distribution.
riwish(v, S)diwish(W, v, S)
diwish(W, v, S)
Degrees of freedom (scalar).
Scale matrix \((p \times p)\).
Positive definite matrix W \((p \times p)\).
diwish evaluates the density at positive definite matrix W. riwish generates one random draw from the distribution.
diwish
riwish
The mean of an inverse Wishart random variable with v degrees of freedom and scale matrix S is \((v-p-1)^{-1}S\).
v
S
# NOT RUN { density <- diwish(matrix(c(2,-.3,-.3,4),2,2), 3, matrix(c(1,.3,.3,1),2,2)) draw <- riwish(3, matrix(c(1,.3,.3,1),2,2)) # }
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