Rev Language Reference

dnLKJPartial - LKJ Distribution (for partial correlation matrices)

The LKJ (Lewandowski-Kurowicka-Joe) distribution (on the partial correlation matrix) with concentration parameter eta.

Usage

dnLKJPartial(RealPos eta, Natural dim)

Arguments

eta : RealPos (pass by const reference)
The parameter.
dim : Natural (pass by value)
The dimensions of the correlation matrix.

Domain Type

MatrixRealSymmetric

Details

The LKJPartial distribution is uniform over positive-definite correlation matrices when eta=1. The probability density of a correlation matrix under the LKJ distribution is: f(x) = det(x)^(eta - 1)

Example

# we simulate a partial correlation matrix.
P <- rLKJPartial(n=1, eta=1, dim=5)

# let's print the simulated partial correlation matrix
P

See Also

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