Simulation from a Wishart distribution

Source: R/rwish.R

Simulates a random Wishart-distributed matrix

rwish(S0, nu = dim(S0)[1] + 2)

Arguments

S0

a positive definite matrix
nu

a positive integer

Value

a positive definite matrix

Author

Peter Hoff

Examples


## The expectation is S0*nu

S0<-rwish(diag(3)) 

SS<-matrix(0,3,3) 
for(s in 1:1000) { SS<-SS+rwish(S0,5) }

SS/s 

#>           [,1]       [,2]       [,3]
#> [1,] 14.004289   1.488621   3.573152
#> [2,]  1.488621  18.225362 -15.808489
#> [3,]  3.573152 -15.808489  62.796895

S0*5

#>           [,1]       [,2]       [,3]
#> [1,] 14.230080   1.888539   3.072212
#> [2,]  1.888539  19.355394 -17.076554
#> [3,]  3.072212 -17.076554  64.874748