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LKJ density on correlation matrices

Source: R/DistMultivariate.R
LkjCorr.Rd

LKJ density on correlation matrices

Usage

LkjCorr(R, eta = 1)

Arguments

R

Correlation matrix.

eta

Shape.

Value

list(pdf, logpdf, log_normalizer).

References

Lewandowski, Kurowicka & Joe (2009). JMVA 100, 1989-2001.

Examples

LkjCorr(diag(2), 1)$pdf
#> [1] 0.5