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.