Wishart distribution

Common card · No. 323131

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 involves 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.

Read on Wikipedia