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WishartDistribution


represents a Wishart distribution with scale matrix and degrees of freedom parameter m.
MORE INFORMATION
  • 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.
EXAMPLESCLOSE ALL
Basic Examples   (3)
The mean of a Wishart distribution:
The variance:
Probability density function:
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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Scope   (3)
Generate a set of pseudorandom matrices that follow a Wishart distribution:
Possible Issues   (2)
is not defined when is not symmetric and positive definite:
is not defined when m<Length[]:
Substitution of invalid parameters into symbolic outputs gives results that are not meaningful:
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