asa053

asa053, a FORTRAN90 code which returns samples from the Wishart distribution.

As far as I can tell, there are two mistakes in the printed text of the algorithm; one involves incorrectly determining the number of degrees of freedom for the ChiSquared distribution; the other omits an absolute value sign when inverting the Wilson-Hilferty formula, so that square roots of negative values are occasionally requested. These mistakes have been corrected here.

Licensing:

The computer code and data files made available on this web page are distributed under the MIT license

Languages:

asa053 is available in a C version and a C++ version and a FORTRAN90 version and a MATLAB version and a Python version.

Related Data and Programs:

asa053_test

WISHART, a FORTRAN90 code which produces sample matrices from the Wishart or Bartlett distributions, useful for sampling random covariance matrices.

Reference:

1. Stanley Sawyer,
   Wishart Distributions and Inverse-Wishart Sampling,
   Washington University,
   30 April 2007, 12 pages.
2. William Smith, Ronald Hocking,
   Algorithm AS 53, Wishart Variate Generator,
   Applied Statistics,
   Volume 21, Number 3, pages 341-345, 1972.

Source Code:

• asa053.f90, the source code.
• asa053.sh, compiles the source code.