Meaning of Wishart distribution | Babel Free

Definitions

A generalisation of the chi-square distribution to an arbitrary (integer) number of dimensions, or of the gamma distribution to a non-integer number of degrees of freedom.

Examples

“The novelty of this work lies in its incorporation of a general conjugate prior distribution for the covariance matrix, namely a generalized inverted Wishart distribution (GIW). As its name suggests, this distribution, discovered by Brown et al. (1994b) generalizes the well-known inverted Wishart distribution.”

“The basic properties of Wishart distributions are studied in Section 7.3.”

“Recall from Appendix B that the Wishart distribution W#95;d(#92;Sigma,n) is characterized by a positive definite matrix #92;Sigma and the degrees of freedom n.”

CEFR level