The Matrix-Normal Inverse-Wishart Distribution
Matrix cross-product.
The Matrix-Normal distribution.
The Matrix-t distribution.
Tools for the Matrix-Normal Inverse-Wishart distribution.
Generate samples from the Matrix-Normal Inverse-Wishart distribution.
The Multivariate Normal distribution.
Conditional sampling for Multivariate-Normal Random-Effects model.
Bayesian inference for a random-effects regression model.
Wishart and Inverse-Wishart distributions.
Density evaluation and random number generation for the Matrix-Normal Inverse-Wishart (MNIW) distribution, as well as the the Matrix-Normal, Matrix-T, Wishart, and Inverse-Wishart distributions. Core calculations are implemented in a portable (header-only) C++ library, with matrix manipulations using the 'Eigen' library for linear algebra. Also provided is a Gibbs sampler for Bayesian inference on a random-effects model with multivariate normal observations.