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