cmvnorm (version 1.1-1)

wishart: The complex Wishart distribution

Description

Returns an observation drawn from the complex Wishart distribution. To sample from the inverse complex Wishart distribution (or indeed the complex inverse Wishart distribution), use solve(rcwis(...)).

Usage

rcwis(n, S)

Value

Returns a (semi-) positive definite Hermitian matrix the same size as argument S

Arguments

n

Integer; degrees of freedom

S

Variance matrix. If an integer, use diag(nrow=S)

Author

Robin K. S. Hankin

Examples

rcwis(10, 2)
eigen(rcwis(7,3), TRUE, TRUE)   # all positive
eigen(rcwis(3,7), TRUE, TRUE)   # 4 positive, 3 zero

rcwis(10, rcwis(10, 3))