Sample covariance matrix

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

[integer(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_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,] 8.4060745 4.34846823 0.33858190
#> [2,] 4.3484682 2.51301596 0.03284407
#> [3,] 0.3385819 0.03284407 0.39116494