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).