draw.inv.wishart {MultiRNG}

Pseudo-Random Number Generation under Inverted Wishart Distribution

Description

This function implements pseudo-random number generation for an inverted Wishart distribution with pdf

f(x|\nu,\Sigma)=(2^{\nu d/2}\pi^{d(d-1)/4}\prod_{i=1}^{d}\Gamma((\nu+1-i)/2))^{-1}|\Sigma|^{\nu/2}|x|^{-(\nu+d+1)/2}\exp(-\frac{1}{2}tr(\Sigma x^{-1}))

x is positive definite, \nu \geq d, and \Sigma^{-1} is symmetric and positive definite, where \nu and \Sigma^{-1} are the degrees of freedom and the inverse scale matrix, respectively.

Usage

draw.inv.wishart(no.row,d,nu,inv.sigma)

Arguments

no.row

Number of rows to generate.

d

Number of variables to generate.

nu

Degrees of freedom.

inv.sigma

Inverse scale matrix.

Value

A no.row \times d^2 matrix ofcontaining Wishart deviates in the form of rows. To obtain the Inverted-Wishart matrix, convert each row to a matrix where rows are filled first.

See Also

draw.wishart

Examples

mymat<-matrix(c(1,0.2,0.3,0.2,1,0.2,0.3,0.2,1), nrow=3, ncol=3)
draw.inv.wishart(no.row=1e5,d=3,nu=5,inv.sigma=mymat)