Hello everyone

I was wondering how would one simulate from a Normal Wishart Distribution
in R.

A normal inverted Wishart distribution is denoted by NIW (M,C,d,S), where

X/(Sigma) ~ N(  M,C,(Sigma) ) -> a matrix normal distribution, (Sigma) ->
column dispersion matrix

(Sigma) ~ IW (d,S) -> inverted Wishart distribution

Thanks a lot !

Best
Shantanu

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