lndIWishart: Compute Log of Inverted Wishart Density
Description
lndIWishart computes the log of an Inverted Wishart density.
Usage
lndIWishart(nu, V, IW)
Arguments
nu
d.f. parameter
V
"location" parameter
IW
ordinate for density evaluation
Value
log density value
concept
Inverted Wishart distribution
density
Warning
This routine is a utility routine that does not check the
input arguments for proper dimensions and type.
Details
$Z$ $\sim$ Inverted Wishart(nu,V).
in this parameterization, $E[Z]=1/(nu-k-1) V$, V is a k x k matrix
lndIWishart computes the complete log-density, including normalizing constants.
References
For further discussion, see Bayesian Statistics and Marketing
by Rossi, Allenby and McCulloch, Chapter 2.
http://faculty.chicagogsb.edu/peter.rossi/research/bsm.html