| sample_right_wishart {tensr} | R Documentation |
Gibbs update of Phi_inv.
Description
Samples an upper triangular Cholesky square root of a mirror-Wishart distributed random variable.
Usage
sample_right_wishart(nu, V)
Arguments
nu |
A numeric. The degrees of freedom in the mirror-Wishart. |
V |
A matrix. The inverse of the scale matrix in the mirror-Wishart. |
Details
Let X be mirror-Wishart(\nu, V^-1). Then This code
returns an upper triangular C where X = CC'. This
function is used primarily during the Gibbs updates of the inverse
of the lower triangular Cholesky square root of the component
covariance matrices in equi_mcmc.
Value
C An upper triangular matrix such that C %*% t(C) is
a sample from the mirror-Wishart(nu, V ^ -1) distribution.
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