• Add new functions to the vignette
• Add generalized inverse Wishart (pseudo inverse of the pseudo Wishart)
• Add pseudo-Wishart (Wishart distribution based on fewer observations than the
  dimension of the covariance matrix).
• Add contributor guidelines and code of conduct.

This is a few minor changes to the internals and the documentation. This new release is on CRAN.

This release added documentation and the ability to provide multiple matrices (as an array) as input to the density functions.

CholWishart

A package for fast computation of various functions related to the Wishart distribution, such as sampling from the Cholesky factorization of the Wishart, sampling from the inverse Wishart, sampling from the Cholesky factorization of the inverse Wishart, computing densities for the Wishart and inverse Wishart, and computing a few auxiliary functions such as the multivariate gamma and digamma functions. Many of these functions are written in C to maximize efficiency.

The output of the sampling functions is in the same format as the output
of stats::rWishart().

The main idea: sampling for multivariate or matrix variate statistics often
makes use of distributions related to the Wishart. There are implementations
in a few packages but they are often in R and much slower than the
basic stats::rWishart() or there is a lot of associated overhead in the
package. Here, then, is a small package with some of those distributions
and related functions. As the name suggests, the initial purpose was
sampling from the Cholesky factorization of a Wishart distribution.

Now available on CRAN, install it at:

install.packages('CholWishart')

Install the latest development version at:

devtools::install_github("gzt/CholWishart")

#NEWS

CholWishart 0.9.1

• Finalize edits to documentation including additional references.

CholWishart 0.9.0.9002

• Add more documentation, add more references to documentation, clean LaTeX equations in documentation.

CholWishart 0.9.0.9001

• Add additional tests for dWishart and dInvWishart functions
• Add references and equations to help files
• Add additional tests for complex entries (should fail) and other erroneous input

A package for fast computation of various functions related to the Wishart distribution, such as sampling from the Cholesky factor of the Wishart, sampling from the inverse Wishart, sampling from the Cholesky factor of the inverse Wishart, computing densities for the Wishart and inverse Wishart, and computing a few auxiliary functions such as the multivariate gamma and digamma functions. Many of these functions are written in C to maximize efficiency.

The output of the sampling functions is in the same format as the output of stats::rWishart().

The main idea: sampling for multivariate or matrix variate statistics often makes use of distributions related to the Wishart. There are implementations in a few packages but they are often in R and much slower than the basic stats::rWishart() or there is a lot of associated overhead in the package. Here, then, is a small package with some of those distributions and related functions. As the name suggests, the initial purpose was sampling from the Cholesky factor of a Wishart distribution.

Now available on CRAN, install it at:

install.packages('CholWishart')

Install the latest development version at:

devtools::install_github("gzt/CholWishart")