rwishart {bayesm}R Documentation

Draw from Wishart and Inverted Wishart Distribution

Description

rwishart draws from the Wishart and Inverted Wishart distributions.

Usage

rwishart(nu, V)

Arguments

nu d.f. parameter
V pds location matrix

Details

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}).

Value

W Wishart draw
IW Inverted Wishart draw
C Upper tri root of W
CI inv(C), W^{-1} = CICI'

Warning

This routine is a utility routine that does not check the input arguments for proper dimensions and type.

Author(s)

Peter Rossi, Graduate School of Business, University of Chicago, Peter.Rossi@ChicagoGsb.edu.

References

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

Examples

##
set.seed(66)
rwishart(5,diag(3))$IW

[Package bayesm version 2.0-8 Index]