| 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
S is mirror-Wishart(\nu,\Phi) if
S = UV'VU',
where
VV' is the lower triangular Cholesky decomposition of a
Wishart(\nu,I)-distributed random matrix and UU' is the upper
triangular Cholesky decomposition of \Phi. That is, V is lower
triangular and U 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