mniw (Q79684)
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The Matrix-Normal Inverse-Wishart Distribution
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | mniw |
The Matrix-Normal Inverse-Wishart Distribution |
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Bryan Yates
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22 September 2024
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Density evaluation and random number generation for the Matrix-Normal Inverse-Wishart (MNIW) distribution, as well as the the Matrix-Normal, Matrix-T, Wishart, and Inverse-Wishart distributions. Core calculations are implemented in a portable (header-only) C++ library, with matrix manipulations using the 'Eigen' library for linear algebra. Also provided is a Gibbs sampler for Bayesian inference on a random-effects model with multivariate normal observations.
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