Drawing from Inverse Wishart Distribution

Hi,

For a random draw from InverseWishart distribution, i need to give "Covariance" matrix as an input. Whay can't it take scale matrix as an input instead? Is there any way to just use scale matrix and degrees of freedom to draw from an InverWishart by using: rndWishartInv(cov, df)

3 Answers



0



The reference to a covariance matrix is a mistake in the documentation. The first input to rndWishartInv should be the scale matrix.

aptech

1,548


0



Are you sure? Then these two routines should give the same result, but they do not! Can you check and let us know? Will appreciate your help

*****************************

proc GEN(a, b);
local d, s;
b = a' - b;
d= b'b + 10*eye(10);
s = ((chol(inv(d))') * rndn(10, (10+1000))';
d= s's;
retp(inv(d));
endp;
_______________________

*******************************

proc GEN_(a, b);
local s;
local scl,dof;
dof=10+1000;
s = a' - b;
scl=((b'b) + 10*eye(10))./dof;
retp(rndWishartInv(scl, dof));
endp;

______________________



0



I will bring this to one of our econometricians and let you know what they say.

aptech

1,548

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