mniw-package {mniw} | R Documentation |
Tools for the Matrix-Normal Inverse-Wishart distribution.
Description
Density evaluation and random number generation for the Matrix-Normal Inverse-Wishart (MNIW) distribution, as well as its constituent distributions, i.e., the Matrix-Normal, Matrix-T, Wishart, and Inverse-Wishart distributions.
Details
The Matrix-Normal Inverse-Wishart (MNIW) distribution (X,V)∼MNIW(Λ,Σ,Ψ,ν)
on random matrices Xp×q
and symmetric positive-definite Vq×q
is defined as
VX∣V∼∼Inverse-Wishart(Ψ,ν)Matrix-Normal(Λ,Σ,V),
where the Matrix-Normal distribution is defined as the multivariate normal
vec(X)∼N(vec(Λ),V⊗Σ),
where vec(X)
is a vector stacking the columns of X
, and V⊗Σ
denotes the Kronecker product.
Author(s)
Maintainer: Martin Lysy mlysy@uwaterloo.ca
Authors:
See Also
Useful links:
[Package
mniw version 1.0.1
Index]