Re: Wishart Distribution

[Brian Gough <brian dot gough at network-theory dot co dot uk>]

Adam Johansen writes:
 > Hello,
 >  Unless I've been looking in the wrong place, the Wishart
 > distribution doesn't appear to be included in the gsl random number
 > distributions. As I'm probably going to have to implement one
 > anyway, I was wondering whether there would be any interest in
 > including it within the gsl (I'd like to know before I start as it
 > will obviously effect my coding style and choice of variable names,
 > etc.). It seems likely that it will be useful to at least some
 > users as the conjugate distribution to the precision matrix of a
 > multivariate normal distribution.

There is a GSL Design document at http://sources.redhat.com/gsl/

The main issue with multivariate distributions is to factor out any
memory allocation/matrix decomposition since this only needs to be
done once, not for each sample.

Brian