InverseWishartMatrixDistribution

InverseWishartMatrixDistribution[ν,Σ]

represents an inverse Wishart matrix distribution with ν degrees of freedom and covariance matrix Σ.

Details

Examples

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Basic Examples  (3)

Generate a pseudorandom matrix:

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Check that it is positive definite:

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Sample eigenvalues of an inverse Wishart random matrix using MatrixPropertyDistribution:

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Mean and variance:

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Scope  (6)

Properties & Relations  (3)

See Also

WishartMatrixDistribution  MatrixNormalDistribution  InverseChiSquareDistribution

Introduced in 2015
(10.3)
| Updated in 2017
(11.1)