rwish {sbgcop}

Sample from the Wishart Distribution

Description

Generate a random sample from the Wishart distribution.

Usage

rwish(S0, nu)

Arguments

S0

a positive definite matrix

nu

a positive integer

Details

Return the sum of nu i.i.d. rank-one matrices generated as z%*%t(z), where z is a sample from a multivariate normal distribution with covariance S0. The resulting random variable has mean nu*S0.

Value

a positive definite matrix.

Author(s)

Peter Hoff