Dear Sir or Madam,
I am using the GSL random number generator to sample cases from various
distributions in my project. It is great to find that GSL supports lots of
distributions. However, neither “wishart” nor “inverse wishart” has been found
in GSL. In Gibbs sampling, we always draw samples from the inverse wishart
distribution, which is the conjugate prior for the covariance matrix of the
multivariate gaussian distribution. Notice that the multivariate gaussian and
the related conjugate prior distributions are frequently employed in Bayesian
analysis, I want to know: is there any alternative implementation of wishart is
GSL? Or is there any version under development supporting the inverse wishart
distribution?
Thanks a lot for your kind attention.
Best,
yorkey
