sim_mniw {bvhar}R Documentation

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 (Yi,Σi)MIW(M,U,Ψ,ν)(Y_i, \Sigma_i) \sim MIW(M, U, \Psi, \nu).

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

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

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

  4. Ai=M+PZiCiTA_i = M + P Z_i C_i^T

Value

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


[Package bvhar version 2.0.1 Index]