CholWishart 0.9.1

CholWishart

A package for fast computation of various functions related to the Wishart distribution, such as sampling from the Cholesky factorization of the Wishart, sampling from the inverse Wishart, sampling from the Cholesky factorization of the inverse Wishart, computing densities for the Wishart and inverse Wishart, and computing a few auxiliary functions such as the multivariate gamma and digamma functions. Many of these functions are written in C to maximize efficiency.

The output of the sampling functions is in the same format as the output
of stats::rWishart().

The main idea: sampling for multivariate or matrix variate statistics often
makes use of distributions related to the Wishart. There are implementations
in a few packages but they are often in R and much slower than the
basic stats::rWishart() or there is a lot of associated overhead in the
package. Here, then, is a small package with some of those distributions
and related functions. As the name suggests, the initial purpose was
sampling from the Cholesky factorization of a Wishart distribution.

Now available on CRAN, install it at:

install.packages('CholWishart')

Install the latest development version at:

devtools::install_github("gzt/CholWishart")

#NEWS

CholWishart 0.9.1

• Finalize edits to documentation including additional references.

CholWishart 0.9.0.9002

• Add more documentation, add more references to documentation, clean LaTeX equations in documentation.

CholWishart 0.9.0.9001

• Add additional tests for dWishart and dInvWishart functions
• Add references and equations to help files
• Add additional tests for complex entries (should fail) and other erroneous input