dwishart.RdDensity of X ~ Wishart(df, Sigma).
dwishart(X, df, Sigma, log = FALSE, is.chol = FALSE)
| X | the observation |
|---|---|
| df | degrees of freedom |
| Sigma | scale matrix |
| log | if TRUE, return the log-density |
| is.chol | if TRUE, Sigma and X are the upper Cholesky factors of Sigma and X |
the density in X
Uses (Press 2012; Anderson 2003) parametrization.
$$X \sim W(\nu, S)$$ with \(S\) is a \(p \times p\) matrix, \(\nu >= p\) (the degrees of freedom).
Then: $$E[X] = \nu S$$
Anderson TW (2003).
An Introduction to Multivariate Statistical Analysis, Wiley Series in Probability and Statistics, 3rd ed edition.
Wiley-Interscience, Hoboken, N.J.
ISBN 978-0-471-36091-9.
Press SJ (2012).
Applied Multivariate Analysis: Using Bayesian and Frequentist Methods of Inference.
Courier Corporation.
Other R functions:
diwishart_inverse_R(),
diwishart(),
riwish_Press()
Other statistical functions:
diwishart_inverse_R(),
diwishart_inverse(),
diwishart(),
dmvnorm(),
riwish_Press(),
rmvnorm(),
rwish()
Other Wishart functions:
diwishart_inverse_R(),
diwishart_inverse(),
diwishart(),
get_minimum_nw_IW(),
riwish_Press(),
rwish()