ASA053
Wishart Variate Generator
ASA053
is a C++ library which
returns samples from the Wishart distribution.
As far as I can tell, there are two mistakes in the printed text
of the algorithm; one involves incorrectly determining the number
of degrees of freedom for the ChiSquared distribution; the
other omits an absolute value sign when inverting the WilsonHilferty
formula, so that square roots of negative values are occasionally
requested. These mistakes have been corrected here.
Source code for many Applied Statistics Algorithms is available through
STATLIB.
Licensing:
The computer code and data files made available on this
web page are distributed under
the GNU LGPL license.
Languages:
ASA053 is available in
a C version and
a C++ version and
a FORTRAN90 version and
a MATLAB version and
a Python version.
Related Data and Programs:
WISHART,
a C++ library which
produces sample matrices from the Wishart or Bartlett distributions,
useful for sampling random covariance matrices.
Reference:

Stanley Sawyer,
Wishart Distributions and InverseWishart Sampling,
Washington University,
30 April 2007, 12 pages.

William Smith, Ronald Hocking,
Algorithm AS 53, Wishart Variate Generator,
Applied Statistics,
Volume 21, Number 3, pages 341345, 1972.
Original Source Code:

asa053_original.f,
the original text of the source code. Note that the
line "DF = N  I + 1" is believed (by me) to be incorrect,
and is replaced in the present version by "DF = NP  I + 1".
Source Code:
Examples and Tests:
List of Routines:

R8_UNIFORM_01 returns a unit pseudorandom R8.

R8PP_PRINT prints an R8PP matrix.

R8PP_PRINT_SOME prints some of an R8PP matrix.

R8UTP_PRINT prints an R8UTP matrix.

R8UTP_PRINT_SOME prints some of an R8UTP matrix.

RNORM returns two independent standard random normal deviates.

TIMESTAMP prints the current YMDHMS date as a time stamp.

WSHRT returns a random Wishart variate.
You can go up one level to
the C++ source codes.
Last revised on 16 April 2014.