rWishart: Random Wishart Matrix Generation
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.
Documentation:
Downloads:
Linking:
Please use the canonical form
https://CRAN.R-project.org/package=rWishart
to link to this page.