Random Wishart Matrix Generation

An expansion of R's 'stats' random wishart matrix generation. This package allows the user to generate singular, Uhlig and Harald (1994) , and pseudo wishart, Diaz-Garcia, et al.(1997) , matrices. In addition the user can generate wishart matrices with fractional degrees of freedom, Adhikari (2008) , commonly used in volatility modeling. Users can also use this package to create random covariance matrices.

rWishart

Overview

rWishart is a wishart distribution suite. In creating other packages we found it useful to separate out our wishart generation functions and maintain them somewhere else. This package works well with slidR, EqualCov and covEst.

In developing covEst we found it useful to have it play nice with the “tidyverse.” At this point we have not thought of all the uses and combinations with these packages so if you think of something not currently implemented please file a minimal reproducible example on github.

Installation

You can install the latest development version from github with

if (packageVersion("devtools") < 1.6) {
  install.packages("devtools")
}
devtools::install_github("benbarnard/rWishart")

If you encounter a clear bug, please file a minimal reproducible example on github.

Example

This is a basic example which shows you how to solve a common problem:

library(rWishart)

rWishart(n = 1, df = 2, Sigma = diag(1, 10), covariance = TRUE)