Displaying 3 results from an estimated 3 matches for "riwish".
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iwish
2005 Apr 28
1
riwish() problem
R users-
In moving from R 2.0.0 to R 2.1.0 in Windows, I have encountered a problem
with the "riwish" command in the package "MCMCpack". I've searched the
documentation and can't seem to figure it out. For example:
Define a matrix:
> lam <- matrix(c(.00233,-.00057,-.00057,.00190),2,2)
and then use the riwish command to generate a random inverse-Wishart variate:...
2012 Mar 01
1
Parameterization of Inverse Wishart distribution available in MCMCpack and bayesm libraries
...ee of freedom, Scale -> Scale parameter).
If we follow standard usage when we refer to the Degree of Freedom of the
above IW distribution it is = DOF (and not 0.5* DOF).
Similarly the Scale parameters of the above IW it is= Scale (and not
0.5*Scale).
For the MCMCpack the IW draws are made by riwish(v,S).
*Question:* Does this compute IW( v,S) or IW(0.5*v,0.5*S) ?
This is the reason I want to find out the way these libraries parameterize
the Inverted Wishart distribution.
Best
Shantanu
[[alternative HTML version deleted]]
2007 Jul 24
1
function optimization: reducing the computing time
...(n-1)
s.yy <- (sd.c[2]^2) * (n-1)
s.xy <- sd.c[1] * sd.c[2] * r * (n-1)
A <- matrix(c(s.xx, s.xy, s.xy, s.yy), ncol=2)
#estimation function
if(standardized)
{
estimation <- function(patient, mean.c, n, A)
{
#estimation of a variance/covariance matrix (sigma)
sigma = riwish(n,A) #random obs. from an inverse-Wishart distribution
#estimation of the means (mu)
z <- rnorm(2)
T <- t(chol(sigma)) #Cholesky decomposition
mu <- mean.c + T %*% z/sqrt(n)
#standardization
z.x <- (patient[1]-mu[1]) / sqrt(sigma[1,1])
z.y <- (patient[2]-mu[2...