Simulation of hyper-inverse Wishart distributions in graphical models
图模型中超逆 Wishart 分布的模拟
We introduce and exemplify an efficient method for direct sampling from hyper-inverse Wishart distributions. The method relies very naturally on the use of standard junction-tree representation of graphs, and couples these with matrix results for inverse Wishart distributions. We describe the theory and resulting computational algorithms for both decomposable and nondecomposable graphical models. An example drawn from financial time series demonstrates application in a…