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Re: [Help-gsl] Question about the GSL random number generator-wishart (y

From: Timothée Flutre
Subject: Re: [Help-gsl] Question about the GSL random number generator-wishart (yorkey)
Date: Thu, 7 Jul 2016 18:21:22 +0200


it would indeed be very useful to add support for random number generation
for the multivariate Normal and Wishart distributions in the GSL.

I recently obtained C code from colleagues who published an article using
the GSL (Jia and Jannink, Genetics, 2012). It hence is under the GPL, too.
In their code, they added 2 functions, one for multivariate Normal and one
for Wishart.

How can I add these 2 functions to the GSL? Can I simply create files ready
to be included into the GSL and send them to this mailing list?

Moreover, the original authors didn't provide any test. So I guess one
would have to add this. So I had a quick look into "tree/randist/test.c" in
the git repo, but didn't quite understand how "testMoments()" is working. I
can't be considered as a solid C programmer... I can give it a try, but
would anyone be willing to help?

Timothée Flutre

2016-06-21 18:00 GMT+02:00 <address@hidden>:

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>    1. Question about the GSL random number generator-wishart (yorkey)
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> Message: 1
> Date: Tue, 21 Jun 2016 10:38:33 +0800
> From: yorkey <address@hidden>
> To: address@hidden
> Cc: yorkey <address@hidden>
> Subject: [Help-gsl] Question about the GSL random number
>         generator-wishart
> Message-ID: <address@hidden>
> Content-Type: text/plain; charset=gb2312
> 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
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