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Simulation from Wishart Distributions with Eigenvalue Constraints
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Simulation from Wishart Distributions with Eigenvalue Constraints
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Simulation from Wishart Distributions with Eigenvalue Constraints
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Journal Article
Simulation from Wishart Distributions with Eigenvalue Constraints
2000
Overview
This article provides an efficient algorithm for generating a random matrix according to a Wishart distribution, but with eigenvalues constrained to be less than a given vector of positive values. The procedure of Odell and Feiveson provides a guide, but the modifications here ensure that the diagonal elements of a candidate matrix are less than the corresponding elements of the constraint vector, thus greatly improving the chances that the matrix will be acceptable. The Normal hierarchical model with vector outcomes and the multivariate random effects model provide motivating applications.
Publisher
Taylor & Francis Group,American Statistical Association, Institute of Mathematical Statistics, and Interface Foundation of North America
