R: The Inverse Wishart Distribution

InvWishart {MCMCpack} | R Documentation

## The Inverse Wishart Distribution

### Description

Density function and random generation from the Inverse Wishart distribution.

### Usage

    riwish(v, S)

    diwish(W, v, S)

### Arguments

`v` | Degrees of freedom (scalar).
`S` | Scale matrix (p \times p).
`W` | Positive definite matrix W (p \times p).

### Details

The mean of an inverse Wishart random variable with `v` degrees of freedom and scale matrix `S` is (v-p-1)^{-1}S.

### Value

`diwish` evaluates the density at positive definite matrix W. `riwish` generates one random draw from the distribution.

### Examples

    density <- diwish(matrix(c(2,-.3,-.3,4),2,2), 3, matrix(c(1,.3,.3,1),2,2))
    draw <- riwish(3, matrix(c(1,.3,.3,1),2,2))

[Package MCMCpack version 1.6-3 Index]