rWishart: Random Wishart Matrix Generation

An expansion of R’s ‘stats’ random wishart matrix generation. This package allows the user to generate singular, Uhlig and Harald (1994) doi:10.1214/aos/1176325375, and pseudo wishart, Diaz-Garcia, et al.(1997) doi:10.1006/jmva.1997.1689, matrices. In addition the user can generate wishart matrices with fractional degrees of freedom, Adhikari (2008) doi:10.1061/(ASCE)0733-9399(2008)134:12(1029), commonly used in volatility modeling. Users can also use this package to create random covariance matrices.

Ben Barnard
Data Scientist

My research interests include the intersection of common sense and data science, statistics education, and the art of consulting on data science projects.