amen (version 1.0)

rwish: Simulation from a Wishart distribution

Description

Simulates a random Wishart-distributed matrix

Usage

rwish(S0, nu = dim(S0)[1] + 1)

Arguments

S0

a positive definite matrix

nu

a positive integer

Value

• a positive definite matrix

Examples

## The expectation is S0*nu

S0<-rwish(diag(3))

SS<-matrix(0,3,3)
for(s in 1:1000) { SS<-SS+rwish(S0,5) }

SS/s

S0*5