rwishart: Draw from Wishart and Inverted Wishart Distribution
Description
rwishart draws from the Wishart and Inverted Wishart distributions.
Usage
rwishart(nu, V)
Arguments
nu
d.f. parameter
V
pds location matrix
Value
WWishart draw
IWInverted Wishart draw
CUpper tri root of W
CIinv(C), $W^{-1}$ = CICI'
concept
Wishart distribution
Inverted Wishart
simulation
Warning
This routine is a utility routine that does not check the
input arguments for proper dimensions and type.
Details
In the parameterization used here, $W$ $\sim$ $W(nu,V)$, $E[W]=nuV$.
If you want to use an Inverted Wishart prior, you must invert the location matrix
before calling rwishart, e.g.
$Sigma$ $\sim$ IW(nu,V); $Sigma^{-1}$ $\sim$ $W(nu,V^{-1})$.
References
For further discussion, see Bayesian Statistics and Marketing
by Allenby, McCulloch, and Rossi, Chapter 2.
http://gsbwww.uchicago.edu/fac/peter.rossi/research/bsm.html