The Matrix-Normal Inverse-Wishart Distribution

Density evaluation and random number generation for the Matrix-Normal Inverse-Wishart (MNIW) distribution, as well as the the Matrix-Normal, Matrix-T, Wishart, and Inverse-Wishart distributions. Core calculations are implemented in a portable (header-only) C++ library, with matrix manipulations using the 'Eigen' library for linear algebra. Also provided is a Gibbs sampler for Bayesian inference on a random-effects model with multivariate normal observations.


Reference manual

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1.0 by Martin Lysy, a year ago

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Authors: Martin Lysy [aut, cre] , Bryan Yates [aut]

Documentation:   PDF Manual  

Task views: Probability Distributions

GPL-3 license

Imports Rcpp

Suggests testthat, knitr, rmarkdown

Linking to Rcpp, RcppEigen

See at CRAN