wishrnd
Wishart random numbers
Syntax
W = wishrnd(Sigma,df)
W = wishrnd(Sigma,df,D)
[W,D] = wishrnd(Sigma,df)
Description
W = wishrnd(Sigma,df) generates
a random matrix W having the Wishart distribution
with covariance matrix Sigma and with df degrees
of freedom. The inverse of W has the Inverse Wishart
distribution with parameters Tau = inv(Sigma) and df degrees
of freedom.
W = wishrnd(Sigma,df,D) expects D to
be the Cholesky factor of Sigma. If you call wishrnd multiple
times using the same value of Sigma, it's more
efficient to supply D instead of computing it each
time.
[W,D] = wishrnd(Sigma,df) returns D so
you can provide it as input in future calls to wishrnd.
This function defines the parameter Sigma so
that the mean of the output matrix is Sigma*df
Version History
Introduced before R2006a
