rndWishartInv#

Purpose#

Computes the inverse Wishart distributed random numbers given a covariance matrix.

Format#

y = rndWishartInv(cov, df)#

Parameters:

cov (matrix) – p x p positive definite covariance matrix
df (scalar) – degrees of freedom.

Returns:

y (matrix) – a random matrix from inverse Wishart distribution.

Examples#

// Set seed for repeatable output
rndseed 12345;

cov = { 1 .5,
       .5  1 };
df = 10;

// A random matrix from inverse Wishart distribution
y = rndWishartInv(cov, df);

print y;

After the code above, y is:

 0.12810680      0.058073486
0.058073486       0.11794912