[R] Parameterization of Inverse Wishart distribution available in MCMCpack and bayesm libraries

ilai keren at math.montana.edu
Fri Mar 2 05:55:37 CET 2012

What do you make of the following from ?riwish
   riwish(v, S)
       v: Degrees of freedom (scalar).
does a m/2 parameterization yield a scalar for, say, 3 dof ?

On Thu, Mar 1, 2012 at 9:55 AM, Shantanu MULLICK <b00295766 at essec.edu> wrote:
> Hello Everyone
> Both the MCMCpack and the bayesm libraries allow us to make draws from the
> Inverse Wishart distribution.
> But I wanted to find out how exactly is the Inverse Wishart distribution
> parameterized in these libraries.
> The reason I ask is the following:
> Now its generally standard to express Inverse Wishart  as IW(0.5 * DOF,0.5*
> Scale).    (DOF-> Degree of freedom, Scale -> Scale parameter).
> If we follow standard usage when we refer to the Degree of Freedom of the
> above IW distribution it is =  DOF (and not 0.5* DOF).
> Similarly the Scale parameters of the above IW it is= Scale (and not
> 0.5*Scale).
> For the MCMCpack the IW draws are made by riwish(v,S).
> *Question:* Does this compute IW( v,S) or IW(0.5*v,0.5*S) ?
> This is the reason I want to find out the way these libraries parameterize
> the Inverted Wishart distribution.
> Best
> Shantanu
>        [[alternative HTML version deleted]]
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