Wishart Distribution Matrix

The Wishart Distribution is a matrix generalization of the chi-square distribution. It is a distribution for a symmetric positive definite matrix whereby the diagonal elements are each chi-square random variables.

In this Wishart Distribution Matrix iPad and iPhone app the following variables are defined.

N is the number of desired observations sampled from the distribution. The sample size is defined as 1000 in this app DF is a scalar value representing the degrees of freedom ( values 3 to 16 )
Scale is either a 2x2, 3x3 or 4x symmetric positive definite matrix.

The returned matrix contains N random draws from the Wishart distribution with DF degrees of freedom. Each row of the returned matrix represents either a 2x2, 3x3 or 4x4 matrix ( for iPad ) or a 2x2 matrix ( for iPhone )

A feature of this app is the ability to utilize a Cholesky Upper Triangular Matrix to enter the data values for the Symmetric Positive Definite Matrix. Examples also provided to enter data values for the Symmetric Positive Definite Matrix