represents a Wishart matrix distribution with ν degrees of freedom and covariance matrix Σ.
- WishartMatrixDistribution is the distribution of the sample covariance from ν independent realizations of a multivariate Gaussian distribution with covariance matrix Σ when the degrees of freedom parameter ν is an integer.
- WishartMatrixDistribution is also known as Wishart–Laguerre ensemble.
- The probability density for a symmetric matrix in a Wishart matrix distribution is proportional to , where is the size of matrix Σ.
- The covariance matrix can be any positive definite symmetric matrix of dimensions and ν can be any real number greater than .
- WishartMatrixDistribution can be used with such functions as MatrixPropertyDistribution, EstimatedDistribution, and RandomVariate.
Examplesopen allclose all
Basic Examples (3)
Sample eigenvalues of a Wishart random matrix using MatrixPropertyDistribution:
Properties & Relations (4)
Introduced in 2015
(10.3)| Updated in 2017