adhoc-wishart-test.py

import numpy as np
import pylab as pl
import pymc as pm

Tau_test = np.matrix([[ 209.47883244,   10.88057915,   13.80581557],
                       [  10.88057915,  213.58694978,   11.18453854],
                       [  13.80581557,   11.18453854,  209.89396417]])
                       
C_test = Tau_test.I

ntest = 10000

w1 = np.array([pm.rwishart(10,Tau_test) for i in xrange(ntest)])
w2 = np.array([pm.rwishart_cov(10,C_test) for i in xrange(ntest)])

for name,arr in [('rwishart',w1),('rwishart_cov',w2)]:
    pl.figure(figsize=(12,12))
    pl.title(name)
    
    for i in xrange(3):
        for j in xrange(3):
            pl.subplot(3,3,j*3+i+1)
            pl.hist(arr[:,i,j])