positive definite (\(p\times p\)) “scale”
matrix, the matrix parameter of the distribution.
covariance
logical on whether a covariance matrix should be generated
simplify
logical or character string; should the result be
simplified to a vector, matrix or higher dimensional array if
possible? For sapply it must be named and not abbreviated.
The default value, TRUE, returns a vector or matrix if appropriate,
whereas if simplify = "array" the result may be an
array of “rank”
(\(=\)length(dim(.))) one higher than the result
of FUN(X[[i]]).
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).