Simulation of hyper-inverse Wishart distributions for non-decomposable graphs

Name: Work Video:
Duration: 3 min 30 s
Description: We propose an efficient solution to the problem of direct sampling from a hyper-inverse Wishart distribution in non-decomposable graphs. The method relies on local computations based on the standard junction tree representation of graphs and distribution theoretical results of constraint Wishart matrices.
Hao Wang; Carlos M. Carvalho
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