A C function utilizing GSL which calculates the pdf of the inverse Wishart.
For a toy example, just make the program.
---> ./invwishpdf 3 3
Inverse Wishart matrix
00.18 -0.09 -0.01
-0.09 00.28 00.02
-0.01 00.02 00.14
Scale matrix
01.00 00.00 00.00
00.00 01.00 00.00
00.00 00.00 01.00
Wishart matrix
06.74 02.20 00.33
02.20 04.28 -0.32
00.33 -0.32 07.00
Density
296.446395
Included are a matrix trace function, a matrix determinant function, a matrix inversion function, and a multivariate gamma function.