[Matlab] - multivariate gamma distribution

[poovich]

Does anyone know how to generate multivariate gamma distribution with specific covariance in matlab?

 

[albeam]

Re: multivariate gamma distribution

I think what you want is to generate from the Wishart distribution, it is the multivariate generalization of the gamma distribution.

Here is the page for how to do it in matlab:

http://www.mathworks.com/help/toolbox/stats/wishrnd.html

 

[poovich]

Re: multivariate gamma distribution

Can I specify covariance structure from that function? I think I cannot do that by using that function.