Hello Everyone
Both the MCMCpack and the bayesm libraries allow us to make draws from the
Inverse Wishart distribution.
But I wanted to find out how exactly is the Inverse Wishart distribution
parameterized in these libraries.
The reason I ask is the following:
Now its generally standard to express Inverse Wishart as IW(0.5 * DOF,0.5*
Scale). (DOF-> Degree of freedom, Scale -> Scale parameter).
If we follow standard usage when we refer to the Degree of Freedom of the
above IW distribution it is = DOF (and not 0.5* DOF).
Similarly the Scale parameters of the above IW it is= Scale (and not
0.5*Scale).
For the MCMCpack the IW draws are made by riwish(v,S).
*Question:* Does this compute IW( v,S) or IW(0.5*v,0.5*S) ?
This is the reason I want to find out the way these libraries parameterize
the Inverted Wishart distribution.
Best
Shantanu
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