An embedded and charset-unspecified text was scrubbed... Name: not available URL: <https://stat.ethz.ch/pipermail/r-help/attachments/20120205/5bc0cee2/attachment.pl>
Simulating from a Normal Inverted Wishart distribution
2 messages · Shantanu MULLICK, Ranjan Maitra
You can first simulate Sigma from the inverse Wishart distribution and then simulate from the matrix normal given the realized Sigma. As per a DuckDuckGo search, InvWishart function in the contributed R package MCMCpack may be what you need for the first step. HTH, Ranjan On Sun, 5 Feb 2012 15:29:33 +0100 Shantanu MULLICK
<b00295766 at essec.edu> wrote:
Hello everyone I was wondering how would one simulate from a Normal Wishart Distribution in R. A normal inverted Wishart distribution is denoted by NIW (M,C,d,S), where X/(Sigma) ~ N( M,C,(Sigma) ) -> a matrix normal distribution, (Sigma) -> column dispersion matrix (Sigma) ~ IW (d,S) -> inverted Wishart distribution Thanks a lot ! Best Shantanu [[alternative HTML version deleted]]
______________________________________________ R-help at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.