rwishart {MSBVAR}R Documentation

Random deviates from a Wishart distribution

Description

Draws random deviates from a Wishart pdf.

Usage

rwishart(N, df, Sigma)

Arguments

N Number of random deviates to draw.
df Degrees of freedom for Wishart distribution
Sigma Mean of the Wishart from which to draw the deviates

Details

Draws N matrices of drawss from a Wishart with mean Sigma. This is used to draw error covariances for the VAR and BVAR models which are distributed inverse Wisharts deviates.

Value

Returns an N dimensional array of dim(Sigma) square matrices for the Wishart random deviates. If N=1, it returns a single matrix.

Author(s)

Patrick T. Brandt

See Also

See also as rmultnorm for multivariate normal deviates and rgamma for the univariate analog to drawing Wishart deviates.

Examples

x <- matrix(rnorm(100), 50, 2)
XX <- crossprod(x)
tmp <- rwishart(1, 50, XX)

[Package MSBVAR version 0.3.2 Index]