MCMCpack (version 1.7-1)

InvWishart: The Inverse Wishart Distribution

Description

Density function and random generation from the Inverse Wishart distribution.

Usage

riwish(v, S)
diwish(W, v, S)

Value

diwish evaluates the density at positive definite matrix W. riwish generates one random draw from the distribution.

Arguments

v

Degrees of freedom (scalar).

S

Scale matrix \((p \times p)\).

W

Positive definite matrix W \((p \times p)\).

Details

The mean of an inverse Wishart random variable with v degrees of freedom and scale matrix S is \((v-p-1)^{-1}S\).

Examples

density <- diwish(matrix(c(2,-.3,-.3,4),2,2), 3, matrix(c(1,.3,.3,1),2,2))
draw <- riwish(3, matrix(c(1,.3,.3,1),2,2))