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arXiv · 2310.15884

Efficiently generating inverse-Wishart matrices and their Cholesky factors

Seth D. Axen
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Abstract

This paper presents a new algorithm for generating random inverse-Wishart matrices that directly generates the Cholesky factor of the matrix without computing the factorization. Whenever parameterized in terms of a precision matrix $Ω=Σ^{-1}$, or its Cholesky factor, instead of a covariance matrix $Σ$, the new algorithm is more efficient than the current standard algorithm.

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Seth D. Axen. 2023-10-24. Efficiently generating inverse-Wishart matrices and their Cholesky factors. https://arxiv.org/abs/2310.15884

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