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 .
Generate upper triangular factor of
in the upper triangular Bartlett decomposition.
Standard normal generation: n x k matrix
in row-wise direction.
Lower triangular Cholesky decomposition:
-
Value
List of MN and IW matrices. Multiple samples are column-stacked.
[Package bvhar version 2.0.1 Index]