In statistics, the inverse Wishart distribution, also called the inverted Wishart distribution, is a probability distribution defined on real-valued positive-definite matrices. In Bayesian statistics it is used as the conjugate prior for the covariance matrix of a
multivariate normal distribution.
degrees of freedom (real)|
, scale matrix (pos. def.)
is p × p positive definite|
: 406 |
We say follows an inverse Wishart distribution, denoted as , if its inverse has a Wishart distribution . Important identities have been derived for the inverse-Wishart distribution.