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

ilai keren at math.montana.edu
Fri Mar 2 18:43:59 CET 2012


On Fri, Mar 2, 2012 at 1:22 AM, peter dalgaard <pdalgd at gmail.com> wrote:
>

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

Dough! awkward... Sorry Shantanu.

I've added
cat('###\n # ',substr(fortunes::fortune(90)$quote,1,146),'\n ### \n')
To .First in my Rhelp directory.
Hope that helps (me).




>
> 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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