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) -
You can first simulate Sigma from the inverse Wishart distribution and
then simulate from the matrix normal given the realized Sigma.
As per a DuckDuckGo search, InvWishart function in the contributed R
package MCMCpack may be what you need for the first step.
HTH,
Ranjan
On Sun, 5 Feb 2012
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