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WishartDistribution

WishartDistribution[CapitalSigma, m]
represents a Wishart distribution with scale matrix CapitalSigma and degrees of freedom parameter m.
  • The probability density for a symmetric positive definite matrix x in a Wishart distribution is proportional to LeftBracketingBarxRightBracketingBar(m-p-1)/2ExponentialE-Tr[CapitalSigma-1.x/2].
  • The scale matrix CapitalSigma can be any symmetric positive definite matrix. The parameter m can be any number such that m>Length[CapitalSigma].
  • For integer m, the Wishart distribution gives the distribution of covariance matrices of multinormal samples.
Needs["MultivariateStatistics`"]
The mean of a Wishart distribution:
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Needs["MultivariateStatistics`"]
The variance:
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Needs["MultivariateStatistics`"]
Probability density function:
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