R help - Feb 2012 - Simulating from a Normal Inverted Wishart distribution

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

	[[alternative HTML version deleted]]

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 15:29:33 +0100 Shantanu MULLICK
<b00295766 at essec.edu> wrote:
> 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
> 
> 	[[alternative HTML version deleted]]
> 
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