rwishart {bayesm} | R Documentation

## Draw from Wishart and Inverted Wishart Distribution

### Description

`rwishart` draws from the Wishart and Inverted Wishart distributions.

### Usage

    rwishart(nu, V)

### Arguments

`nu` | d.f. parameter
`V` | pds location matrix

### Details

In the parameterization used here, W ~ W(nu,V), E[W]=nuV.

If you want to use an Inverted Wishart prior, you must invert the location matrix before calling `rwishart`, e.g.
Sigma ~ IW(nu,V); Sigma^{-1} ~ W(nu,V^{-1}).

### Value

`W` | Wishart draw
`IW` | Inverted Wishart draw
`C` | Upper tri root of W
`CI` | inv(C), W^{-1} = CICI'

### Warning

This routine is a utility routine that does not check the input arguments for proper dimensions and type.

### Author(s)

Peter Rossi, Graduate School of Business, University of Chicago, Peter.Rossi@ChicagoGsb.edu.

### References

For further discussion, see Bayesian Statistics and Marketing by Rossi, Allenby and McCulloch, Chapter 2.
http://gsbwww.uchicago.edu/fac/peter.rossi/research/bsm.html

### Examples

    ##
    set.seed(66)
    rwishart(5,diag(3))$IW

[Package bayesm version 2.0-8 Index]