inv_wishart_cholesky_lpdf() [1/2]

template<bool propto, typename T_y , typename T_dof , typename T_scale , require_stan_scalar_t< T_dof > * = nullptr, require_all_matrix_t< T_y, T_scale > * = nullptr>

return_type_t< T_y, T_dof, T_scale > stan::math::inv_wishart_cholesky_lpdf	(	const T_y &	L_Y,
		const T_dof &	nu,
		const T_scale &	L_S
	)

Return the natural logarithm of the unnormalized inverse wishart density of the specified lower-triangular Cholesky factor variate, positive degrees of freedom, and lower-triangular Cholesky factor of the scale matrix.

The scale matrix, L_S, must be a lower Cholesky factor. Dimension, k, is implicit. nu must be greater than k-1

The change of variables from Y, a positive-definite matrix, to L_Y, the lower triangular Cholesky factor, is given in Theorem 2.1.9 in Muirhead, R. J. (2005). Aspects of Multivariate Statistical Theory. Wiley-Interscience.

Template Parameters

T_y	Cholesky factor matrix
T_dof	scalar degrees of freedom
T_scale	Cholesky factor matrix

Parameters

L_Y	lower triangular Cholesky factor of a covariance matrix
nu	scalar degrees of freedom
L_S	lower triangular Choleskyy factor of the scale matrix

Returns

natural logarithm of the Wishart density at L_Y given nu and L_S

Exceptions

std::domain_error	if nu is not greater than k-1
std::domain_error	if L_S is not a valid Cholesky factor.

Definition at line 43 of file inv_wishart_cholesky_lpdf.hpp.