inv_wishart_cholesky_rng()

template<class RNG >

Eigen::MatrixXd stan::math::inv_wishart_cholesky_rng ( double  nu, const Eigen::MatrixXd &  L_S, RNG &  rng  )

inline

Return a random Cholesky factor of a covariance matrix of the specified dimensionality drawn from the inverse Wishart distribution with the specified degrees of freedom using the specified random number generator.

Axen, Seth D. "Efficiently generating inverse-Wishart matrices and their Cholesky factors." arXiv preprint arXiv:2310.15884 (2023).

Template Parameters

RNG	Random number generator type

Parameters

[in]	nu	scalar degrees of freedom
[in]	L_S	lower Cholesky factor of the scale matrix
[in,out]	rng	random-number generator

Returns

random lower Cholesky factor drawn from the given inverse Wishart distribution

Exceptions

std::domain_error	if the scale matrix is not a Cholesky factor
std::domain_error	if the degrees of freedom is greater than k - 1 where k is the dimension of L

Definition at line 31 of file inv_wishart_cholesky_rng.hpp.