Request For Inverse Wishart Distribution #2017
Description
Feature Summary
The Inverse Wishart Distribution should be added into the distribution class. Then it is more convenient to directly use it instead of computing the inverse of a Wishart distribution.
Why is this needed?
The Inverse Wishart Distribution is widely used in the Normal-Inverse-Wishart prior to model the linear characteristics, due to its good conjugate property. Especially in the macroeconomic modelling, economists prefer the classic Inverse Wishart.