Package ubic.basecode.math.distribution

Class Wishart

java.lang.Object

ubic.basecode.math.distribution.Wishart

public class Wishart
extends Object

Wishart distribution, used to simulate covariance matrices.

Based on method in Odell and Feiveson JASA 1966 p.199-203

The interface is modeled after ContinuousDistribution from colt, which unfortunately is designed only for univariate distributions.

Author:

pavlidis

Constructor Summary

Constructors

Constructor	Description
Wishart(double df, DoubleMatrix2D covariance, RandomEngine randomGenerator)

Method Summary

Modifier and Type	Method	Description
DoubleMatrix2D	nextDoubleMatrix()	Based on R code from Francesca Dominici, http ://www.biostat.jhsph.edu/~fdominic/teaching/BM/bm.html

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

Wishart

public Wishart(double df,
 DoubleMatrix2D covariance,
 RandomEngine randomGenerator)

Parameters:

df -

covariance -

randomGenerator -

s -

Method Details

nextDoubleMatrix

public DoubleMatrix2D nextDoubleMatrix()

Based on R code from Francesca Dominici, http ://www.biostat.jhsph.edu/~fdominic/teaching/BM/bm.html

Returns

 w=(RU)'RU
 

where

 Cov=U'U (U is upper triang)
 

and where upper-tri R is

 R_ij˜N(0,1), i<j ; (R_ii)ˆ2˜Chisq(nu-s+i)
 

Parameters:

s -

nu -

covariance -

Returns: