Inverse-Wishart distribution

Probability distribution / From Wikipedia, the free encyclopedia

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.

Quick facts: Notation, Parameters, Support, PDF, Mean...
Inverse-Wishart
Notation
Parameters degrees of freedom (real)
, scale matrix (pos. def.)
Support is p × p positive definite
PDF

Mean For
Mode [1]:406
Variance see below
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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.[2]