Wishart {MCMCpack}

The Wishart Distribution

Description

Density function and random generation from the Wishart distribution.

Usage

rwish(v, S)

dwish(W, v, S)

Arguments

v

Degrees of freedom (scalar).

S

Inverse scale matrix (p \times p).

W

Positive definite matrix W (p \times p).

Details

The mean of a Wishart random variable with v degrees of freedom and inverse scale matrix S is vS.

Value

dwish evaluates the density at positive definite matrix W. rwish generates one random draw from the distribution.

Examples

density <- dwish(matrix(c(2,-.3,-.3,4),2,2), 3, matrix(c(1,.3,.3,1),2,2))
draw <- rwish(3, matrix(c(1,.3,.3,1),2,2))