Papers › Efficiently generating inverse-Wishart matrices and their Cholesky factors
Efficiently generating inverse-Wishart matrices and their Cholesky factors
Seth D. Axen
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This paper presents a new algorithm for generating random inverse-Wishart matrices that directly generates the Cholesky factor of the matrix without computing the factorization. Whenever parameterized in terms of a precision matrix Ω=Σ⁻¹, or its Cholesky factor, instead of a covariance matrix Σ, the new algorithm is more efficient than the current standard algorithm.
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