phcfM (version 1.2)

InvWishart: The Inverse Wishart Distribution

Description

Density function and random generation from the Inverse Wishart distribution.

Usage

diwish(W, v, S) riwish(v, S)

Arguments

W

Positive definite matrix W $(p x p)$.

v

Degrees of freedom (scalar).

S

Scale matrix $(p x p)$.

Value

diwish evaluates the density at positive definite matrix W. riwish generates one random draw from the distribution.

Details

The mean of an inverse Wishart random variable with v degrees of freedom and scale matrix S is $1/(v-p-1) S$.

Examples

## 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))
# ## End(Not run)