Statistics: iwishrnd

### Function Reference: `iwishrnd`

statistics: [W, DI] = iwishrnd (Tau, df, DI, n=1)

Return a random matrix sampled from the inverse Wishart distribution with given parameters.

Inputs: the p× p positive definite matrix Tau and scalar degrees of freedom parameter df (and optionally the transposed Cholesky factor DI of Sigma = `inv(Tau)`).

df can be non-integer as long as df > d

Output: a random p× p matrix W from the inverse Wishart(Tau, df) distribution. (`inv(W)` is from the Wishart(`inv(Tau)`, df) distribution.) If n > 1, then W is p x p x n and holds n such random matrices. (Optionally, the transposed Cholesky factor DI of Sigma is also returned.)

Averaged across many samples, the mean of W should approach Tau / (df - p - 1).

### References

1. Yu-Cheng Ku and Peter Bloomfield (2010), Generating Random Wishart Matrices with Fractional Degrees of Freedom in OX, http://www.gwu.edu/~forcpgm/YuChengKu-030510final-WishartYu-ChengKu.pdf

See also: iwishpdf, wishpdf, wishrnd

Source Code: iwishrnd