Simulation from Wishart Distributions with Eigenvalue Constraints |
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Authors: | Philip J. Everson Carl N. Morris |
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Affiliation: | 1. Department of Mathematics and Statistics , Swarthmore College, 500 College Avenue, Swarthmore , PA , 19081 , USA;2. Department of Statistics, Science Center , Sixth Floor, Harvard University , Cambridge , MA , 02138 , USA |
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Abstract: | Abstract 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. |
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Keywords: | Bayesian inference Constrained chi-square distribution Constrained Wishart distribution Multivariate Normal hierarchical model Random matrix generation Rejection sampling |
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