MSBVAR (version 0.9-2)

rwishart: Random deviates from a Wishart distribution

Description

Draws random deviates from a Wishart pdf.

Usage

rwishart(N, df, Sigma)

Arguments

N

Number of random deviates to draw.

df

Degrees of freedom for Wishart distribution

Sigma

Mean of the Wishart from which to draw the deviates

Value

Returns an N dimensional array of dim(Sigma) square matrices for the Wishart random deviates. If N=1, it returns a single matrix.

Details

Draws N matrices of draws from a Wishart with mean Sigma. This is used to draw error covariances for the VAR and BVAR models which are distributed inverse Wisharts deviates.

See Also

See also as rmultnorm for multivariate normal deviates, rgamma for the univariate analog to drawing Wishart deviates, and ldwishart for computing the log density for a Wishart variate.

Examples

x <- matrix(rnorm(100), 50, 2)
XX <- crossprod(x)
tmp <- rwishart(1, 50, XX)