Wishart distribution
Let be independent -dimensional random variables, which are
multivariate normally distributed (http://planetmath.org/jointnormaldistribution).
Let . Let be the matrix
with as rows.
Then the joint distribution
of the
elements of is said to be a Wishart distribution
on
of freedom , and is
denoted by . If , the distribution
is said to be
central and is denoted by .
The Wishart distribution is a multivariate generalization
of the distribution.
has a density function when .
Title | Wishart distribution |
---|---|
Canonical name | WishartDistribution |
Date of creation | 2013-03-22 16:12:31 |
Last modified on | 2013-03-22 16:12:31 |
Owner | Mathprof (13753) |
Last modified by | Mathprof (13753) |
Numerical id | 9 |
Author | Mathprof (13753) |
Entry type | Definition |
Classification | msc 62H05 |
Defines | central Wishart distribution |