This correlation is constructed by transformation of the Inverse Wishart random covariate to a correlation.

invWR1d(d, nu, omegaIsChol = FALSE)

Arguments

d

The dimension of the correlation matrix

nu

Degrees of freedom of the Wishart distribution

omegaIsChol

is an indicator of if the omega matrix is in the Cholesky decomposition. This is only used when codetype="invWishart"

Value

One correlation sample from the inverse wishart

Author

Matthew Fidler