WishartDistribution

WishartDistribution[Σ,m]
represents a Wishart distribution with scale matrix Σ and degrees of freedom parameter m.

DetailsDetails

  • To use WishartDistribution, you first need to load the Multivariate Statistics Package using Needs["MultivariateStatistics`"].
  • The probability density for a symmetric positive definite matrix in a Wishart distribution is proportional to .
  • The scale matrix Σ can be any symmetric positive definite matrix. The parameter m can be any number such that m>Length[Σ].
  • For integer m, the Wishart distribution gives the distribution of covariance matrices of multinormal samples.
  • WishartDistribution can be used with such functions as Mean, PDF, and RandomReal.

ExamplesExamplesopen allclose all

Basic Examples  (3)Basic Examples  (3)

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The mean of a Wishart distribution:

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The variance:

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Probability density function:

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