This correlation is constructed by transformation of the Inverse Wishart random covariate to a correlation.
invWR1d(d, nu, omegaIsChol = FALSE)
d | The dimension of the correlation matrix |
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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" |
One correlation sample from the inverse wishart
Matthew Fidler