Inverse matrix gamma distribution
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In statistics , the inverse matrix gamma distribution is a generalization of the inverse gamma distribution to positive-definite matrices . [1] It is a more general version of the inverse Wishart distribution , and is used similarly, e.g. as the conjugate prior of the covariance matrix of a multivariate normal distribution or matrix normal distribution . The compound distribution resulting from compounding a matrix normal with an inverse matrix gamma prior over the covariance matrix is a generalized matrix t-distribution . [ citation needed ]
This reduces to the
inverse Wishart distribution
with
degrees of freedom when
.
See also
References
- ↑ Iranmanesha, Anis; Arashib, M.; Tabatabaeya, S. M. M. (2010). "On Conditional Applications of Matrix Variate Normal Distribution" . Iranian Journal of Mathematical Sciences and Informatics . 5 (2): 33–43.