wishart_test

wishart_test, a MATLAB program which calls wishart() to produce sample matrices from the Wishart or Bartlett distributions, useful for sampling random covariance matrices.

Licensing:

The computer code and data files made available on this web page are distributed under the GNU LGPL license.

Related Data and Programs:

wishart, a MATLAB library which produces sample matrices from the Wishart or Bartlett distributions, useful for sampling random covariance matrices.

Source Code:

• wishart_test.m, calls all the tests.
• wishart_test.sh, runs all the tests.
• wishart_test.txt, the output file.
• bartlett_unit_sample_test.m
• wishart_test03.m checks a relationship between the unit Wishart and Bartlett distributions.
• wishart_test04.m demonstrates the use of wishart_sample();
• wishart_test05.m demonstrates the use of bartlett_sample();
• wishart_test06.m checks a relationship between the Wishart and Bartlett distributions.
• wishart_test07.m checks that the expected value of a Wishart matrix is the product of the degrees of freedom times the distribution covariance matrix.
• wishart_test08.m verifies that the inverse of a unit Wishart sample matrix has been correctly computed.
• wishart_test09.m verifies that the inverse of a Wishart sample matrix has been correctly computed.
• wishart_unit_sample_test.m