Wishart distribution

(30 minutes to learn)

Summary

The Wishart distribution is a distribution over positive semidefinite matrices. It is most often used as the conjugate prior for the precision matrix of a multivariate Gaussian.

Context

This concept has the prerequisites:

Core resources (read/watch one of the following)

-Paid-

See also

  • sampling from a Wishart distribution
  • math tricks for Wishart distributions