dimanche 9 décembre 2018

How to Generate Random Covariance Matrix from Wishart Distrubtion

I need to generate an n x n, positive-definite covariance matrix for a project. Drawing from the Wishart distribution was recommended. How do I generate a random covariance matrix in R, ideally also using the Wishart Distribution. I've tried rwishart() to get values, but need more help. Thanks




Aucun commentaire:

Enregistrer un commentaire