Wolfram Language & System 11.0 (2016)|Legacy Documentation
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represents an inverse Wishart matrix distribution with ν degrees of freedom and covariance matrix Σ.
- The probability density for a symmetric matrix in an inverse Wishart matrix distribution is proportional to , where is the size of matrix Σ.
- For a matrix distributed as InverseWishartMatrixDistribution[ν,Σ], the inverse is distributed as WishartMatrixDistribution[ν,Σ-1].
- The covariance matrix can be any positive definite symmetric matrix of dimensions and ν can be any real number greater than .
- InverseWishartMatrixDistribution can be used with such functions as MatrixPropertyDistribution and RandomVariate.
Introduced in 2015