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Multivariate Statistics Package Symbol

WishartDistribution

WishartDistribution[

, m]
represents a Wishart distribution with scale matrix

and degrees of freedom parameter m.

To use WishartDistribution, you first need to load the Multivariate Statistics Package using Needs["MultivariateStatistics`"].

The probability density for a symmetric positive definite matrix x in a Wishart distribution is proportional to x^(m-p-1)/2^{-Tr[^-1.x/2]}.

The scale matrix can be any symmetric positive definite matrix. The parameter m can be any number such that m>Length[].

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.

Needs["MultivariateStatistics`"]

The mean of a Wishart distribution:

Needs["MultivariateStatistics`"]

The variance:

Needs["MultivariateStatistics`"]

Probability density function: