CholWishart {CholWishart}

Cholesky Factor of a Wishart or Inverse Wishart

Description

The most common use for this package is likely fast sampling from the inverse Wishart or use of the multivariate gamma and digamma functions. This is a package for fast computation of various functions related to the Wishart distribution, such as sampling from the Cholesky factorization of the Wishart, sampling from the inverse Wishart, sampling from the Cholesky factorization of the inverse Wishart, sampling from the pseudo Wishart, computing densities for the Wishart and inverse Wishart, and computing a few auxiliary functions such as the multivariate gamma and digamma functions. Many of these functions are written in C to maximize efficiency.