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

peter dalgaard pdalgd at gmail.com
Fri Mar 2 09:22:44 CET 2012

On Mar 2, 2012, at 05:55 , ilai wrote:

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

Er, yes.... (scalar does not imply integer)

As a general matter:

1. This is the Open Source world, you can read the actual function and see what it does. It might even say so in the comments.

2. You can investigate empirically -- the moments are known as a function of the parameters (check Wikipedia), so how about simulating a few thousand matrices and looking at the means and variances. 

(I don't do IW on a daily basis, but AFAICT, the two parametrizations have roughly the same mean, but a factor of two between variances, so it should be fairly easy to spot whether it is one or the other.)

Peter Dalgaard, Professor,
Center for Statistics, Copenhagen Business School
Solbjerg Plads 3, 2000 Frederiksberg, Denmark
Phone: (+45)38153501
Email: pd.mes at cbs.dk  Priv: PDalgd at gmail.com

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