A useful reparameterisation to obtain samples from conditional inverse Wishart distributions.docVIP

Inge Riis Korsgaard Anders Holst Andersen (Received 12 December 1997; accepted 6 January 1999) Abstract -A Bayesian joint analysis of normally distributed traits and binary traits, using the Gibbs sampler, requires the drawing of samples from a conditional inverse Wishart distribution. This is the fully conditional posterior distribution of the residual covariance matrix of the normally distributed traits and liabilities of the binary traits. Obtaining samples from the conditional inverse Wishart distribution is not straightforward. However, combining well-known matrix results and properties