Generate random sample from Inverted Wishart.

Using (Press 2012) parametrization.

riwish_Press(v, S)

Arguments

v

dof \(\nu_w\) (\(> 2p\))
S

the scale matrix (pxp)

Value

a single random observation from $$IW_p(\nu_w, U)$$

Inverted Wishart parametrization (Press)

Uses (Press 2012) parametrization.

$$X \sim IW(\nu, S)$$ with \(S\) is a \(p \times p\) matrix, \(\nu > 2p\) (the degrees of freedom).

Then: $$E[X] = \frac{S}{\nu - 2(p + 1)}$$

References

Press SJ (2012). Applied Multivariate Analysis: Using Bayesian and Frequentist Methods of Inference. Courier Corporation.

See also

Other R functions: diwishart_inverse_R(), diwishart(), dwishart()

Other statistical functions: diwishart_inverse_R(), diwishart_inverse(), diwishart(), dmvnorm(), dwishart(), rmvnorm(), rwish()

Other Wishart functions: diwishart_inverse_R(), diwishart_inverse(), diwishart(), dwishart(), get_minimum_nw_IW(), rwish()