R help - Mar 2012 - Parameterization of Inverse Wishart distribution available in MCMCpack and bayesm libraries

Hello Everyone

Both the MCMCpack and the bayesm libraries allow us to make draws from the
Inverse Wishart distribution.

But I wanted to find out how exactly is the Inverse Wishart distribution
parameterized in these libraries.

The reason I ask is the following:

Now its generally standard to express Inverse Wishart  as IW(0.5 * DOF,0.5*
Scale).    (DOF-> Degree 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]]

What do you make of the following from ?riwish
"
   riwish(v, S)
<snip>
       v: Degrees of freedom (scalar).
"
does a m/2 parameterization yield a scalar for, say, 3 dof ?



On Thu, Mar 1, 2012 at 9:55 AM, Shantanu MULLICK <b00295766 at essec.edu>
wrote:
> Hello Everyone
>
> Both the MCMCpack and the bayesm libraries allow us to make draws from the
> Inverse Wishart distribution.
>
> But I wanted to find out how exactly is the Inverse Wishart distribution
> parameterized in these libraries.
>
> The reason I ask is the following:
>
> Now its generally standard to express Inverse Wishart ?as IW(0.5 * DOF,0.5*
> Scale). ? ?(DOF-> Degree 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]]
>
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