mniw

The Matrix-Normal Inverse-Wishart Distribution

CRAN Package

Density evaluation and random number generation for the Matrix-Normal Inverse-Wishart (MNIW) distribution, as well as the the Matrix-Normal, Matrix-T, Wishart, and Inverse-Wishart distributions. Core calculations are implemented in a portable (header-only) C++ library, with matrix manipulations using the 'Eigen' library for linear algebra. Also provided is a Gibbs sampler for Bayesian inference on a random-effects model with multivariate normal observations.

  • Version1.0.2
  • R version≥ 2.10
  • LicenseGPL-3
  • Needs compilation?Yes
  • Last release09/22/2024

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