nimble: Wishart – R documentation

Become an expert in R — Interactive courses, Cheat Sheets, certificates and more!

Wishart

The Wishart Distribution

Description

Density and random generation for the Wishart distribution, using the Cholesky factor of either the scale matrix or the rate matrix.

Usage

dwish_chol(x, cholesky, df, scale_param = TRUE, log = FALSE)

rwish_chol(n = 1, cholesky, df, scale_param = TRUE)

Arguments

`x`	vector of values.
`cholesky`	upper-triangular Cholesky factor of either the scale matrix (when `scale_param` is TRUE) or rate matrix (otherwise).
`df`	degrees of freedom.
`scale_param`	logical; if TRUE the Cholesky factor is that of the scale matrix; otherwise, of the rate matrix.
`log`	logical; if TRUE, probability density is returned on the log scale.
`n`	number of observations (only `n=1` is handled currently).

Details

See Gelman et al., Appendix A or the BUGS manual for mathematical details. The rate matrix as used here is defined as the inverse of the scale matrix, S^{-1}, given in Gelman et al.

Value

dwish_chol gives the density and rwish_chol generates random deviates.

Author(s)

Christopher Paciorek

References

Gelman, A., Carlin, J.B., Stern, H.S., and Rubin, D.B. (2004) Bayesian Data Analysis, 2nd ed. Chapman and Hall/CRC.

Examples

df <- 40
ch <- chol(matrix(c(1, .7, .7, 1), 2))
x <- rwish_chol(1, ch, df = df)
dwish_chol(x, ch, df = df)

nimble

MCMC, Particle Filtering, and Programmable Hierarchical Modeling

v0.11.0

BSD_3_clause + file LICENSE | GPL (>= 2)

Authors

Perry de Valpine [aut], Christopher Paciorek [aut, cre], Daniel Turek [aut], Nick Michaud [aut], Cliff Anderson-Bergman [aut], Fritz Obermeyer [aut], Claudia Wehrhahn Cortes [aut] (Bayesian nonparametrics system), Abel Rodrìguez [aut] (Bayesian nonparametrics system), Duncan Temple Lang [aut] (packaging configuration), Sally Paganin [aut] (reversible jump MCMC), Jagadish Babu [ctb] (code for the compilation system for an early version of NIMBLE), Lauren Ponisio [ctb] (contributions to the cross-validation code), Peter Sujan [ctb] (multivariate t distribution code)

Initial release

2021-04-16