Return a random matrix sampled from the Wishart distribution with given parameters
Inputs: the p x p positive definite matrix Sigma (or the lower-triangular Cholesky factor D of Sigma) and scalar degrees of freedom parameter df. df can be non-integer as long as df > p
Output: a random p x p matrix W from the Wishart(Sigma, df) distribution. If n > 1, then W is p x p x n and holds n such random matrices. (Optionally, the lower-triangular Cholesky factor D of Sigma is also returned.)
Averaged across many samples, the mean of W should approach df*Sigma, and the variance of each element W_ij should approach df*(Sigma_ij^2 + Sigma_ii*Sigma_jj)
Reference: Yu-Cheng Ku and Peter Bloomfield (2010), Generating Random Wishart Matrices with Fractional Degrees of Freedom in OX, http://www.gwu.edu/~forcpgm/YuChengKu-030510final-WishartYu-ChengKu.pdf
See also: iwishrnd, wishpdf.
Package: statistics