sim_iw {bvhar} | R Documentation |
Generate Inverse-Wishart Random Matrix
Description
This function samples one matrix IW matrix.
Usage
sim_iw(mat_scale, shape)
Arguments
mat_scale |
Scale matrix |
shape |
Shape |
Details
Consider .
Upper triangular Bartlett decomposition: k x k matrix
upper triangular with
-
-
with i < j (upper triangular)
-
Lower triangular Cholesky decomposition:
-
-
Value
One k x k matrix following IW distribution
[Package bvhar version 2.0.1 Index]