Abstract
We propose an efficient solution to the problem of direct sampling from a hyper-inverse Wishart distribution in non-decomposable graphs. The method relies on local computations based on the standard junction tree representation of graphs and distribution theoretical results of constraint Wishart matrices.
Citation
Hao Wang. Carlos M. Carvalho. "Simulation of hyper-inverse Wishart distributions for non-decomposable graphs." Electron. J. Statist. 4 1470 - 1475, 2010. https://doi.org/10.1214/10-EJS591
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