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

rndseed 223;
cov = { 1 .5,
       .5  1 };
df = 10;

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

print y;

After above code,

0.081211791      0.036818644
0.036818644      0.097064472