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Results tagged with wishart-distribution
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user 8402
The Wishart distribution is a common matrix distribution on square symmetric semi-definite matrices.
1
vote
rWishart: should be $dof>p-1$ or $dof \ge p$?
Use the matrixsampling package.
library(matrixsampling)
Sigma <- toeplitz(2:1)/10
rwishart(2, nu = 1.5, Sigma)
It also allow nu <= p-1 at condition that nu is an integer (in this case the Wishart d …
- 19.7k
5
votes
Accepted
What is the Fisher's information matrix for the Wishart distribution?
$\newcommand{\D}{\textsf{D}}$
$\newcommand{\tr}{\text{tr}}$
$\newcommand{\vec}{\text{vec}}$
$\newcommand{\vech}{\text{vech}}$
I've derived it with the second order differential.
The log-likelihood is
…
- 19.7k
2
votes
Unsolvable Integral?
The answer can be derived from the following result.
If $\Sigma \sim {\cal IW}_\nu(V)$ (inverse-Wishart) and $(G \mid \Sigma) \sim {\cal N}(\theta, \lambda\Sigma)$, then $G \sim {\cal T}_{\nu-d+1}\lef …
- 19.7k