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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1615 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
assia 2008-01-17 16:16:32 +00:00
parent a9cb80a29e
commit d8135e533a
1 changed files with 22 additions and 16 deletions
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38
matlab/rand_inverse_wishart.m
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function G = rand_inverse_wishart(m, v, H_inv_upper_chol) function G = rand_inverse_wishart(m, v, H_inv_upper_chol)
% function G = rand_inverse_wishart(m, v, H_inv_upper_chol)
% rand_inverse_wishart Pseudo random matrices drawn from an % rand_inverse_wishart Pseudo random matrices drawn from an
% inverse Wishart distribution % inverse Wishart distribution
%
% G = rand_inverse_wishart(m, v, H_inv_upper_chol) % G = rand_inverse_wishart(m, v, H_inv_upper_chol)
%
% Returns an m-by-m matrix drawn from an inverse-Wishart distribution. % Returns an m-by-m matrix drawn from an inverse-Wishart distribution.
% %
% m: dimension of G and H_inv_upper_chol. % INPUTS:
% v: degrees of freedom, greater or equal than m. % m: dimension of G and H_inv_upper_chol.
% H_inv_chol: upper cholesky decomposition of the inverse of the % v: degrees of freedom, greater or equal than m.
% matrix parameter. % H_inv_chol: upper cholesky decomposition of the inverse of the
% The upper cholesky of the inverse is requested here % matrix parameter.
% in order to avoid to recompute it at every random draw. % The upper cholesky of the inverse is requested here
% H_inv_upper_chol = chol(inv(H)) % in order to avoid to recompute it at every random draw.
% % H_inv_upper_chol = chol(inv(H))
% In other words: % OUTPUTS:
% G ~ IW(m, v, H) where H = inv(H_inv_upper_chol'*H_inv_upper_chol) % G: G ~ IW(m, v, H) where H = inv(H_inv_upper_chol'*H_inv_upper_chol)
% or, equivalently, using the correspondence between Wishart and % or, equivalently, using the correspondence between Wishart and
% inverse-Wishart: % inverse-Wishart: inv(G) ~ W(m, v, S) where
% inv(G) ~ W(m, v, S) where S = H_inv_upper_chol'*H_inv_upper_chol = inv(H) % S = H_inv_upper_chol'*H_inv_upper_chol = inv(H)
%
% SPECIAL REQUIREMENT
% none
%
% part of DYNARE, copyright Dynare Team (2003-2008)
% Gnu Public License.
X = randn(v, m) * H_inv_upper_chol; X = randn(v, m) * H_inv_upper_chol;