iwishrnd - Inverse Wishart random numbers
Syntax
W = iwishrnd(Tau,df)
W = iwishrnd(Tau,df,DI)
[W,DI] = iwishrnd(Tau,df)
Description
W = iwishrnd(Tau,df) generates
a random matrix W from the inverse Wishart distribution
with parameters Tau and df.
The inverse of W has the Wishart distribution with
covariance matrix Sigma = inv(Tau) and with df degrees
of freedom. Tau is a symmetric and positive definite
matrix.
W = iwishrnd(Tau,df,DI) expects DI to
be the transpose of the inverse of the Cholesky factor of Tau,
so that DI'*DI = inv(Tau), where inv is the MATLAB inverse function. DI is
lower-triangular and the same size as Tau. If you
call iwishrnd multiple times using the same value
of Tau, it is more efficient to supply DI instead
of computing it each time.
[W,DI] = iwishrnd(Tau,df) returns DI so
you can use it as an input in future calls to iwishrnd.
Note that different sources use different parametrizations for
the inverse Wishart distribution. This function defines the parameter tau so
that the mean of the output matrix is Tau/(df-d-1) where d is
the dimension of Tau.
See Also
wishrnd
Inverse Wishart Distribution
 | Iters property (gmdistribution) | | jackknife |  |
Includes the most popular MATLAB recorded presentations with Q&A sessions led by MATLAB experts.
Get the Interactive Kit
Store 
