Simulations of Matrix Variate Distributions

Provides samplers for various matrix variate distributions: Wishart, inverse-Wishart, normal, t, inverted-t, Beta type I, Beta type II, Gamma, confluent hypergeometric. Allows to simulate the noncentral Wishart distribution without the integer restriction on the degrees of freedom.


Simulation of matrix variate distributions

This package allows to simulate some matrix variate distributions: the matrix normal distribution, the matrix t-distribution, the matrix inverted t-distribution, the Wishart distribution, the Beta type I distribution and the Beta type II distribution. A particular feature is the possibility to simulate the noncentral Wishart distribution with any fractional number of degrees of freedom.

Install

You can install:

  • the latest released version from CRAN
install.packages("matrixsampling")
  • the latest development version
devtools::install_github("stla/matrixsampling")

Find a bug ? Suggestion for improvement ?

Please report at https://github.com/stla/matrixsampling/issues.

News

matrixsampling 1.0.0 (2017-12-10)

First release.

matrixsampling 1.0.0.9000 (2018-02-21)

Improvement of the noncentral Wishart sampler for non-integer degrees of freedom.

Reference manual

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.

install.packages("matrixsampling")

2.0.0 by St├ęphane Laurent, 2 years ago


https://github.com/stla/matrixsampling


Report a bug at https://github.com/stla/matrixsampling/issues


Browse source code at https://github.com/cran/matrixsampling


Authors: St├ęphane Laurent


Documentation:   PDF Manual  


Task views: Probability Distributions


GPL-3 license


Imports stats, keep


Imported by brokenstick.

Suggested by matrixNormal.


See at CRAN