sim_mniw {bvhar}

Generate Normal-IW Random Family

Description

This function samples normal inverse-wishart matrices.

Usage

sim_mniw(num_sim, mat_mean, mat_scale_u, mat_scale, shape)

Arguments

num_sim

Number to generate

mat_mean

Mean matrix of MN

mat_scale_u

First scale matrix of MN

mat_scale

Scale matrix of IW

shape

Shape of IW

Details

Consider (Y_i, \Sigma_i) \sim MIW(M, U, \Psi, \nu).

1. Generate upper triangular factor of \Sigma_i = C_i C_i^T in the upper triangular Bartlett decomposition.

2. Standard normal generation: n x k matrix Z_i = [z_{ij} \sim N(0, 1)] in row-wise direction.

3. Lower triangular Cholesky decomposition: U = P P^T

4. A_i = M + P Z_i C_i^T

Value

List of MN and IW matrices. Multiple samples are column-stacked.