Re: Wishart Distribution

Re: Wishart Distribution

[Rodney Sparapani]

Adam:

I do not believe this is currently part of GSL, but it would definitely be 
welcome!

Thanks, Rodney

>Date: Thu, 12 Dec 2002 15:15:34 +0000 (GMT)
>From: Adam Johansen <amj26@hermes.cam.ac.uk>
>To: gsl-discuss@sources.redhat.com
>cc: "Adam (Engineering) Johansen" <amj26@eng.cam.ac.uk>
>Subject: Wishart Distribution
>MIME-Version: 1.0
>
>Hello,
>
>Unless I've been looking in the wrong place, the Wishart distribution
>doesn't appear to be included in the gsl random number distributions. As
>I'm probably going to have to implement one anyway, I was wondering
>whether there would be any interest in including it within the gsl (I'd
>like to know before I start as it will obviously effect my coding style
>and choice of variable names, etc.). It seems likely that it will be
>useful to at least some users as the conjugate distribution to the
>precision matrix of a multivariate normal distribution.
>
>Apologies if I've missed something which is already present, or it's been
>decided not to include this distribution.
>
>Thanks,
>Adam
>
>

Rodney Sparapani              Medical College of Wisconsin
Sr. Biostatistician           Patient Care & Outcomes Research
rsparapa@mcw.edu              http://www.mcw.edu/pcor
Was 'Name That Tune' rigged?  WWLD -- What Would Lombardi Do

Re: Wishart Distribution

[Brian Gough]

Adam Johansen writes:
 > Hello,
 >  Unless I've been looking in the wrong place, the Wishart
 > distribution doesn't appear to be included in the gsl random number
 > distributions. As I'm probably going to have to implement one
 > anyway, I was wondering whether there would be any interest in
 > including it within the gsl (I'd like to know before I start as it
 > will obviously effect my coding style and choice of variable names,
 > etc.). It seems likely that it will be useful to at least some
 > users as the conjugate distribution to the precision matrix of a
 > multivariate normal distribution.

There is a GSL Design document at http://sources.redhat.com/gsl/

The main issue with multivariate distributions is to factor out any
memory allocation/matrix decomposition since this only needs to be
done once, not for each sample.

Brian

Wishart Distribution

[Adam Johansen]

Hello,

Unless I've been looking in the wrong place, the Wishart distribution
doesn't appear to be included in the gsl random number distributions. As
I'm probably going to have to implement one anyway, I was wondering
whether there would be any interest in including it within the gsl (I'd
like to know before I start as it will obviously effect my coding style
and choice of variable names, etc.). It seems likely that it will be
useful to at least some users as the conjugate distribution to the
precision matrix of a multivariate normal distribution.

Apologies if I've missed something which is already present, or it's been
decided not to include this distribution.

Thanks,
Adam