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rWishart (version 0.1.1)

Random Wishart Matrix Generation

Description

An expansion of R's 'stats' random wishart matrix generation. This package allows the user to generate singular, Uhlig and Harald (1994) , and pseudo wishart, Diaz-Garcia, et al.(1997) , matrices. In addition the user can generate wishart matrices with fractional degrees of freedom, Adhikari (2008) , commonly used in volatility modeling. Users can also use this package to create random covariance matrices.

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Version

Install

install.packages('rWishart')

Monthly Downloads

154

Version

0.1.1

License

GPL-2

Maintainer

Ben Barnard

Last Published

September 9th, 2018

Functions in rWishart (0.1.1)

rFractionalWishart

Random Fractional Wishart Matrix
FractionalWishart

Fractional Wishart Helper Function
PsuedoWishart

Psuedo Wishart Helper Function
rPsuedoWishart

Random Psuedo Wishart Matrix
SingularWishart

Singular Wishart Helper Function
NonsingularWishart

Nonsingular Wishart Helper Function
rWishart

Random Wishart Matrix Generation
rSingularWishart

Random Singular Wishart Matrix
wishartTest

Test if Matrix is a Wishart Matrix
rNonsingularWishart

Random Nonsingular Wishart Matrix