rmirror_wishart {tensr}R Documentation

Sample from the mirror-Wishart distribution.

Description

Given scale matrix Phi and degrees of freedom nu, rmirror_wishart will sample from the mirror-Wishart distribution.

Usage

rmirror_wishart(nu, Phi)

Arguments

nu

An integer. The degrees of freedom in the mirror-Wishart.

Phi

A matrix. The scale matrix of the mirror-Wishart.

Details

SS is mirror-Wishart(ν,Φ\nu,\Phi) if

S=UVVU,S = UV'VU',

where VVVV' is the lower triangular Cholesky decomposition of a Wishart(ν,I\nu,I)-distributed random matrix and UUUU' is the upper triangular Cholesky decomposition of Φ\Phi. That is, VV is lower triangular and UU is upper triangular. For details on its applications, see Gerard and Hoff (2015).

Value

A matrix drawn from the mirror-Wishart distribution with nu degrees of freedom and scale matrix Phi.

Author(s)

David Gerard.

References

Gerard, D., & Hoff, P. (2015). Equivariant minimax dominators of the MLE in the array normal model. Journal of Multivariate Analysis, 137, 32-49. https://doi.org/10.1016/j.jmva.2015.01.020 http://arxiv.org/pdf/1408.0424.pdf

See Also

sample_right_wishart


[Package tensr version 1.0.1 Index]