Wishart distribution

Wishart
Notation	X ~ Wp(V, n)
Parameters	n > p − 1 degrees of freedom (real); V > 0 scale matrix (p × p pos. def)
Support	X(p × p) positive definite matrix
PDF	Γp is the multivariate gamma function; tr is the trace function;
Mean
Mode	(n − p − 1)V for n ≥ p + 1
Variance
Entropy	see below
CF

In statistics, the Wishart distribution is a generalization of the gamma distribution to multiple dimensions. It is named in honor of John Wishart, who first formulated the distribution in 1928. Other names include Wishart ensemble (in random matrix theory, probability distributions over matrices are usually called "ensembles"), or Wishart–Laguerre ensemble (since its eigenvalue distribution involve Laguerre polynomials), or LOE, LUE, LSE (in analogy with GOE, GUE, GSE).

It is a family of probability distributions defined over symmetric, positive-definite random matrices (i.e. matrix-valued random variables). These distributions are of great importance in the estimation of covariance matrices in multivariate statistics. In Bayesian statistics, the Wishart distribution is the conjugate prior of the inverse covariance-matrix of a multivariate-normal random-vector.

This article is issued from Wikipedia. The text is licensed under Creative Commons - Attribution - Sharealike. Additional terms may apply for the media files.

Wishart
Notation	$X ~ W p (V, n)$
Parameters	$n > p - 1$ degrees of freedom (real) $V > 0$ scale matrix ( $p \times p$ pos. def)
Support	$X (p \times p)$ positive definite matrix
PDF	$f_{\mathbf {X} }(\mathbf {X} )={\frac {\|\mathbf {X} \|^{(n-p-1)/2}e^{-\operatorname {tr} (\mathbf {V} ^{-1}\mathbf {X} )/2}}{2^{\frac {np}{2}}\|{\mathbf {V} }\|^{n/2}\Gamma _{p}({\frac {n}{2}})}}$ $Γ p$ is the multivariate gamma function $tr$ is the trace function
Mean	$\operatorname {E} [X]=n{\mathbf {V} }$
Mode	$(n - p - 1) V$ for $n \geq p + 1$
Variance	$\operatorname {Var} (\mathbf {X} _{ij})=n\left(v_{ij}^{2}+v_{ii}v_{jj}\right)$
Entropy	see below
CF	$\Theta \mapsto \left\|{\mathbf {I} }-2i\,{\mathbf {\Theta } }{\mathbf {V} }\right\|^{-{\frac {n}{2}}}$