pymc-devs/pymc — Issue #97: wishart_like and inverse_wishart_like functions
Author: aperotte
Created: 2012-03-07 11:06:30+00:00
State: open

I think there may be a problem with the functions that return the log likelihood for the wishart and inverse wishart distributions. This can be seen by taking two abritrary positive definite matrices (M1, M2) and an arbitrary value for degress of freedom (nu) (greater than the number of dimensions) then evaluating pymc.wishart_like(M1, nu, M2) and pymc.inverse_wishart_like(numpy.linalg.inv(M1), nu, numpy.linalg.inv(M2)). These two quantities should be equivalent.