[R] Simulating from a Normal Inverted Wishart distribution

[Ranjan Maitra]

You can first simulate Sigma from the inverse Wishart distribution and
then simulate from the matrix normal given the realized Sigma.

As per a DuckDuckGo search, InvWishart function in the contributed R
package MCMCpack may be what you need for the first step.

HTH,
Ranjan

On Sun, 5 Feb 2012 15:29:33 +0100 Shantanu MULLICK
<b00295766 at essec.edu> wrote:

> 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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> 
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