(30 minutes to learn)
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.
This concept has the prerequisites:
Core resources (read/watch one of the following)
→ Machine Learning: a Probabilistic Perspective
A very comprehensive graudate-level machine learning textbook.
Location: Section 4.5, pages 125-127
- sampling from a Wishart distribution
- math tricks for Wishart distributions