CholWishart (Q57780)
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Cholesky Decomposition of the Wishart Distribution
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | CholWishart |
Cholesky Decomposition of the Wishart Distribution |
Statements
30 September 2024
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Sampling from the Cholesky factorization of a Wishart random variable, sampling from the inverse Wishart distribution, sampling from the Cholesky factorization of an inverse Wishart random variable, sampling from the pseudo Wishart distribution, sampling from the generalized inverse Wishart distribution, computing densities for the Wishart and inverse Wishart distributions, and computing the multivariate gamma and digamma functions. Provides a header file so the C functions can be called directly from other programs.
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