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