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
See also