rwishart {MSBVAR} | R Documentation |
Draws random deviates from a Wishart pdf.
rwishart(N, df, Sigma)
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 |
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.
Returns an N dimensional array of dim(Sigma) square matrices for the Wishart random deviates. If N=1, it returns a single matrix.
Patrick T. Brandt
See also as rmultnorm
for multivariate normal
deviates and rgamma
for the univariate analog to drawing
Wishart deviates.
x <- matrix(rnorm(100), 50, 2) XX <- crossprod(x) tmp <- rwishart(1, 50, XX)