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rWishart  

Random Wishart Matrix Generation
View on CRAN: Click here


Download and install rWishart package within the R console
Install from CRAN:
install.packages("rWishart")

Install from Github:
library("remotes")
install_github("cran/rWishart")

Install by package version:
library("remotes")
install_version("rWishart", "0.1.2")



Attach the package and use:
library("rWishart")
Maintained by
Ben Barnard
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2017-11-09
Latest Update: 2019-11-19
Description:
An expansion of R's 'stats' random wishart matrix generation. This package allows the user to generate singular, Uhlig and Harald (1994) <doi:10.1214/aos/1176325375>, and pseudo wishart, Diaz-Garcia, et al.(1997) <doi:10.1006/jmva.1997.1689>, matrices. In addition the user can generate wishart matrices with fractional degrees of freedom, Adhikari (2008) <doi:10.1061/(ASCE)0733-9399(2008)134:12(1029)>, commonly used in volatility modeling. Users can also use this package to create random covariance matrices.
How to cite:
Ben Barnard (2017). rWishart: Random Wishart Matrix Generation. R package version 0.1.2, https://cran.r-project.org/web/packages/rWishart
Previous versions and publish date:
0.1.0 (2017-11-09 11:11), 0.1.1 (2018-09-09 10:57)
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