rWishart v0.1.1


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Random Wishart Matrix Generation

An expansion of R's 'stats' random wishart matrix generation. This package allows the user to generate singular, Uhlig and Harald (1994) <doi:10.1214/aos/1176325375>, and pseudo wishart, Diaz-Garcia, et al.(1997) <doi:10.1006/jmva.1997.1689>, matrices. In addition the user can generate wishart matrices with fractional degrees of freedom, Adhikari (2008) <doi:10.1061/(ASCE)0733-9399(2008)134:12(1029)>, commonly used in volatility modeling. Users can also use this package to create random covariance matrices.

Functions in rWishart

Name Description
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
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License GPL-2
Encoding UTF-8
LazyData true
RoxygenNote 6.0.1
NeedsCompilation no
Packaged 2018-09-09 08:52:59 UTC; ripley
Repository CRAN
Date/Publication 2018-09-09 08:57:13 UTC
X-CRAN-Original-Maintainer Ben Barnard
X-CRAN-Comment Orphaed on 2018-09-09 as there was no response to requests to repair an intermittent test error.

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