tensr (version 1.0.1)

sample_right_wishart: Gibbs update of Phi_inv.

Description

Samples an upper triangular Cholesky square root of a mirror-Wishart distributed random variable.

Usage

sample_right_wishart(nu, V)

Arguments

nu

A numeric. The degrees of freedom in the mirror-Wishart.

V

A matrix. The inverse of the scale matrix in the mirror-Wishart.

Value

C An upper triangular matrix such that C %*% t(C) is a sample from the mirror-Wishart(nu, V ^ -1) distribution.

Details

Let \(X\) be mirror-Wishart(\(\nu\), \(V^-1\)). Then This code returns an upper triangular \(C\) where \(X = CC'\). This function is used primarily during the Gibbs updates of the inverse of the lower triangular Cholesky square root of the component covariance matrices in equi_mcmc.

References

Gerard, D., & Hoff, P. (2015). Equivariant minimax dominators of the MLE in the array normal model. Journal of Multivariate Analysis, 137, 32-49. https://doi.org/10.1016/j.jmva.2015.01.020 http://arxiv.org/pdf/1408.0424.pdf

See Also

equi_mcmc, rmirror_wishart.