rWishart (version 0.1.1)

NonsingularWishart: Nonsingular Wishart Helper Function

Description

Nonsingular Wishart Helper Function

Usage

NonsingularWishart(df, Sigma, covariance = FALSE)

Arguments

df

numeric parameter, “degrees of freedom”.

Sigma

positive definite (\(p\times p\)) “scale” matrix, the matrix parameter of the distribution.

covariance

logical on whether a covariance matrix should be generated

Value

A numeric array of dimension p * p * n, where each array is a positive semidefinite matrix, a realization of the Wishart distribution W_p(Sigma, df)

Details

If X_1, ..., X_m is a sample of m independent multivariate Gaussians with mean vector 0, and covariance matrix Sigma, the distribution of M = X'X is W_p(Sigma, m).

Examples

# NOT RUN {
NonsingularWishart(20, diag(1,5))
# }