rwish function

Simulation from a Wishart distribution

Simulates a random Wishart-distributed matrix

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

Arguments

• S0: a positive definite matrix
• nu: a positive integer

Returns

a positive definite matrix

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 

S0*5

Author(s)

Peter Hoff