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The Wishart distribution is a common matrix distribution on square symmetric semi-definite matrices.

6 votes

Generate covariance matrix with fixed values in certain cells

It should be possible to sample from a Wishart distribution conditional on some of the entries being fixed. It may not be possible out-of-the-box with any of the BUGS-like languages (e.g. JAGS or STA …
David J. Harris's user avatar