rwishart {bayesm} | R Documentation |
rwishart
draws from the Wishart and Inverted Wishart distributions.
rwishart(nu, V)
nu |
d.f. parameter |
V |
pds location matrix |
In the parameterization used here, W ~ W(nu,V), E[W]=nuV.
If you want to use an Inverted Wishart prior, you must invert the location matrix
before calling rwishart
, e.g.
Sigma ~ IW(nu,V); Sigma^{-1} ~ W(nu,V^{-1}).
W |
Wishart draw |
IW |
Inverted Wishart draw |
C |
Upper tri root of W |
CI |
inv(C), W^{-1} = CICI' |
This routine is a utility routine that does not check the input arguments for proper dimensions and type.
Peter Rossi, Graduate School of Business, University of Chicago, Peter.Rossi@ChicagoGsb.edu.
For further discussion, see Bayesian Statistics and Marketing
by Rossi, Allenby and McCulloch, Chapter 2.
http://gsbwww.uchicago.edu/fac/peter.rossi/research/bsm.html
## set.seed(66) rwishart(5,diag(3))$IW