Sample covariance matrix — sample_covariance_matrix • oeli

This function samples a covariance matrix from an inverse Wishart distribution.

Usage

sample_covariance_matrix(dim, df = dim, scale = diag(dim), diag = FALSE)

Arguments

dim: [integer(1)]
The dimension.
df: [numeric(1)]
The degrees of freedom of the inverse Wishart distribution greater or equal dim.
scale: [matrix()]
The scale covariance matrix of the inverse Wishart distribution of dimension dim.
diag: [logical(1)]
Diagonal matrix?

Value

A covariance matrix.

See also

Other matrix helpers: check_correlation_matrix(), check_covariance_matrix(), check_one_hot_matrix(), check_transition_probability_matrix(), cov_to_chol(), diff_cov(), insert_matrix_column(), matrix_diagonal_indices(), matrix_indices(), sample_correlation_matrix(), sample_transition_probability_matrix(), stationary_distribution()

Examples

sample_covariance_matrix(dim = 3)
#>            [,1]       [,2]        [,3]
#> [1,]  35.252927 -1.5694679 -10.3216283
#> [2,]  -1.569468  0.2062862   0.4207078
#> [3,] -10.321628  0.4207078   3.2418538