This code is written and for use in OX, which includes the random Wishart and inverse-Wishart matrix generator and their probability density functions. Detail about the work can be found in Generating Random Wishart Matrices with Fractional Degrees of Freedom in OX.
References:
- Anderson, T. W., (2003), An Introduction to Statitistcal Multivariate Analysis.
- Srivastava, M. S., (2003), Singular Wishart and Multivariate Beta Distributions, Annals of Statistics.