MATLAB: Do I receive different results when using the IWISHRND function in Statistics Toolbox 5.0.2 (R14SP2) and 5.1 (R14SP3)

choleskydistributionfactorinverseiwishrndrandomsigmaStatistics and Machine Learning Toolboxwishart

The IWISHRND function seem to have changed between Statistics Toolbox 5.0.2 (R14SP2) and 5.1 (R14SP3). If you look at the implementation of IWISHRND:
type iwishrnd
You will see this line in R14SP2:
 di = d\eye(size(d))
And in R14SP3:
 di = d' \eye(size(d))

Best Answer

There was an error in the way the IWISHRND function was implemented in the Statistics Toolbox 5.0.2 (R14SP2). This was corrected in Statistics Toolbox 5.1 (R14SP3).
The documentation for IWISHRND within Statistics Toolbox 5.1 (R14SP3) is misleading as well. DI should not be called 'the Cholesky factor of inverse of SIGMA'. In fact, DI is the transpose of inverse of the Cholesky factor of SIGMA.
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