Hello everyone
I was wondering how would one simulate from a Normal Wishart Distribution
in R.
A normal inverted Wishart distribution is denoted by NIW (M,C,d,S), where
X/(Sigma) ~ N( M,C,(Sigma) ) -> a matrix normal distribution, (Sigma) ->
column dispersion matrix
(Sigma) ~ IW (d,S) -> inverted Wishart distribution
Thanks a lot !
Best
Shantanu
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