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Titolo:
Simulation from Wishart distributions with eigenvalue constraints
Autore:
Everson, PJ; Morris, CN;
Indirizzi:
Swarthmore Coll, Dept Math & Stat, Swarthmore, PA 19081 USA Swarthmore Coll Swarthmore PA USA 19081 & Stat, Swarthmore, PA 19081 USA Harvard Univ, Dept Stat, Ctr Sci, Cambridge, MA 02138 USA Harvard Univ Cambridge MA USA 02138 tat, Ctr Sci, Cambridge, MA 02138 USA
Titolo Testata:
JOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS
fascicolo: 2, volume: 9, anno: 2000,
pagine: 380 - 389
SICI:
1061-8600(200006)9:2<380:SFWDWE>2.0.ZU;2-A
Fonte:
ISI
Lingua:
ENG
Soggetto:
EMPIRICAL BAYES;
Keywords:
Bayesian inference; constrained chi-square distribution; constrained Wishart distribution; multivariate normal hierarchical model; random matrix generation; rejection sampling;
Tipo documento:
Article
Natura:
Periodico
Settore Disciplinare:
Physical, Chemical & Earth Sciences
Citazioni:
8
Recensione:
Indirizzi per estratti:
Indirizzo: Everson, PJ Swarthmore Coll, Dept Math & Stat, 500 Coll Ave, Swarthmore, PA 19081 USA Swarthmore Coll 500 Coll Ave Swarthmore PA USA 19081 19081 USA
Citazione:
P.J. Everson e C.N. Morris, "Simulation from Wishart distributions with eigenvalue constraints", J COMPU G S, 9(2), 2000, pp. 380-389

Abstract

This article provides an efficient algorithm for generating a random matrix according to a Wishart distribution, but with eigenvalues constrained to be less than a given vector of positive values. The procedure of Odell and Feiveson provides a guide, but the modifications here ensure that the diagonal elements of a candidate matrix are less than the corresponding elementsof the constraint vector, thus greatly improving the chances that the matrix will be acceptable. The Normal hierarchical model with vector outcomes and the multivariate random effects model provide motivating applications.

ASDD Area Sistemi Dipartimentali e Documentali, Università di Bologna, Catalogo delle riviste ed altri periodici
Documento generato il 12/07/20 alle ore 09:10:15