Generate a random sample from the Wishart distribution.
Usage
rwish(S0, nu)
Arguments
S0
a positive definite matrix
nu
a positive integer
Value
a positive definite matrix.
Details
Return the sum of nu i.i.d. rank-one matrices generated as z%*%t(z),
where z is a sample from a multivariate normal distribution with
covariance S0. The resulting random variable has mean nu*S0.