/usr/share/octave/packages/statistics-1.3.0/iwishpdf.m is in octave-statistics 1.3.0-1.
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##
## This program is free software; you can redistribute it and/or modify it under the terms of the GNU General Public License as published by the Free Software Foundation; either version 3 of the License, or (at your option) any later version.
##
## Octave is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details.
##
## You should have received a copy of the GNU General Public License along with Octave; see the file COPYING. If not, see <http://www.gnu.org/licenses/>.
## -*- texinfo -*-
## @deftypefn {Function File} {} @var{y} = iwishpdf (@var{W}, @var{Tau}, @var{df}, @var{log_y}=false)
## Compute the probability density function of the Wishart distribution
##
## Inputs: A @var{p} x @var{p} matrix @var{W} where to find the PDF and the @var{p} x @var{p} positive definite scale matrix @var{Tau} and scalar degrees of freedom parameter @var{df} characterizing the inverse Wishart distribution. (For the density to be finite, need @var{df} > (@var{p} - 1).)
## If the flag @var{log_y} is set, return the log probability density -- this helps avoid underflow when the numerical value of the density is very small
##
## Output: @var{y} is the probability density of Wishart(@var{Sigma}, @var{df}) at @var{W}.
##
## @seealso{iwishrnd, wishpdf}
## @end deftypefn
## Author: Nir Krakauer <nkrakauer@ccny.cuny.edu>
## Description: Compute the probability density function of the inverse Wishart distribution
function [y] = iwishpdf(W, Tau, df, log_y=false)
if (nargin < 3)
print_usage ();
endif
p = size(Tau, 1);
if (df <= (p - 1))
error('df too small, no finite densities exist')
endif
#calculate the logarithm of G_d(df/2), the multivariate gamma function
g = (p * (p-1) / 4) * log(pi);
for i = 1:p
g = g + log(gamma((df + (1 - i))/2)); #using lngamma_gsl(.) from the gsl package instead of log(gamma(.)) might help avoid underflow/overflow
endfor
C = chol(W);
#use formulas for determinant of positive definite matrix for better efficiency and numerical accuracy
logdet_W = 2*sum(log(diag(C)));
logdet_Tau = 2*sum(log(diag(chol(Tau))));
y = -(df*p)/2 * log(2) + (df/2)*logdet_Tau - g - ((df + p + 1)/2)*logdet_W - trace(Tau*chol2inv(C))/2;
if ~log_y
y = exp(y);
endif
endfunction
##test results cross-checked against diwish function in R MCMCpack library
%!assert(iwishpdf(4, 3, 3.1), 0.04226595, 1E-7);
%!assert(iwishpdf([2 -0.3;-0.3 4], [1 0.3;0.3 1], 4), 1.60166e-05, 1E-10);
%!assert(iwishpdf([6 2 5; 2 10 -5; 5 -5 25], [9 5 5; 5 10 -8; 5 -8 22], 5.1), 4.946831e-12, 1E-17);
%% Test input validation
%!error iwishpdf ()
%!error iwishpdf (1, 2)
%!error iwishpdf (1, 2, 0)
%!error wishpdf (1, 2)
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