Overview
In statistics, the inverse Wishart distribution, also called the inverted Wishart distribution, is a probability distribution defined on real-valued positive-definite matrices. In Bayesian statistics it is used as the conjugate prior for the covariance matrix of a
multivariate normal distribution.
We say follows an inverse Wishart distribution, denoted as , if its inverse has a Wishart distribution . Important identities have been derived for the inverse-Wishart distribution.
Density
The probability density function of the inverse Wishart is:
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