Wishart Distribution Matrix for iOS

By Donald Schaefer
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Key Details of Wishart Distribution Matrix

The Wishart Distribution is a matrix generalization of the chi-square distribution. It is a distribution for a symmetric positive definite matrix...
Last updated on June 22, 2016
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Developer's Description

By Donald Schaefer

The Wishart Distribution is a matrix generalization of the chi-square distribution. It is a distribution for a symmetric positive definite matrix...

The Wishart Distribution is a matrix generalization of the chi-square distribution. It is a distribution for a symmetric positive definite matrix whereby the diagonal elements are each chi-square random variables.In this Wishart Distribution Matrix iPad app the following variables are defined.N is the number of desired observations sampled from the distribution. The sample size is defined as 1000 in this appDF is a scalar value representing the degrees of freedom ( values 3 -99 )Scaleis either a 2x2, 3x3 or 4x symmetric positive definite matrix.The returned matrix contains N random draws from the Wishart distribution with DF degrees of freedom. Each row of the returned matrix represents either a 2x2, 3x3 or 4x4 matrix.A feature of this app is the ability to utilize a Cholesky Upper Triangular Matrix to enter the data values for the Symmetric Positive Definite Matrix. Examples also provided to enter data values for the Symmetric Positive Definite Matrix.