Namespaces

Types in MathNet.Numerics.Distributions

Type Wishart

Namespace MathNet.Numerics.Distributions

Interfaces IDistribution

Multivariate Wishart distribution. This distribution is parameterized by the degrees of freedom nu and the scale matrix S. The Wishart distribution is the conjugate prior for the precision (inverse covariance) matrix of the multivariate normal distribution..

Constructors

Static Functions

Methods

Properties

Public Constructors

Wishart(double degreesOfFreedom, Matrix<T> scale)

Initializes a new instance of the Wishart class.
Parameters
double degreesOfFreedom

The degrees of freedom (n) for the Wishart distribution.

Matrix<T> scale

The scale matrix (V) for the Wishart distribution.

Wishart(double degreesOfFreedom, Matrix<T> scale, Random randomSource)

Initializes a new instance of the Wishart class.
Parameters
double degreesOfFreedom

The degrees of freedom (n) for the Wishart distribution.

Matrix<T> scale

The scale matrix (V) for the Wishart distribution.

Random randomSource

The random number generator which is used to draw random samples.

Public Static Functions

bool IsValidParameterSet(double degreesOfFreedom, Matrix<T> scale)

Tests whether the provided values are valid parameters for this distribution.
Parameters
double degreesOfFreedom

The degrees of freedom (n) for the Wishart distribution.

Matrix<T> scale

The scale matrix (V) for the Wishart distribution.

Matrix<T> Sample(Random rnd, double degreesOfFreedom, Matrix<T> scale)

Samples a Wishart distributed random variable using the method Algorithm AS 53: Wishart Variate Generator W. B. Smith and R. R. Hocking Applied Statistics, Vol. 21, No. 3 (1972), pp. 341-345
Parameters
Random rnd

The random number generator to use.

double degreesOfFreedom

The degrees of freedom (n) for the Wishart distribution.

Matrix<T> scale

The scale matrix (V) for the Wishart distribution.

Return
Matrix<T>

a sequence of samples from the distribution.

Public Methods

double Density(Matrix<T> x)

Evaluates the probability density function for the Wishart distribution.
Parameters
Matrix<T> x

The matrix at which to evaluate the density at.

Return
double

the density at x.

bool Equals(object obj)

int GetHashCode()

Type GetType()

Matrix<T> Sample()

Samples a Wishart distributed random variable using the method Algorithm AS 53: Wishart Variate Generator W. B. Smith and R. R. Hocking Applied Statistics, Vol. 21, No. 3 (1972), pp. 341-345
Return
Matrix<T>

A random number from this distribution.

string ToString()

A string representation of the distribution.
Return
string

a string representation of the distribution.

Public Properties

double DegreesOfFreedom get;

Gets or sets the degrees of freedom (n) for the Wishart distribution.

Matrix<T> Mean get;

Gets the mean of the distribution.
Value:

Matrix<T> Mode get;

Gets the mode of the distribution.
Value:

Random RandomSource get; set;

Gets or sets the random number generator which is used to draw random samples.

Matrix<T> Scale get;

Gets or sets the scale matrix (V) for the Wishart distribution.

Matrix<T> Variance get;

Gets the variance of the distribution.
Value: