Dictionary

Wishart distribution en · NOUN

Etymology

Named in honour of Scottish mathematician John Wishart, who formulated the distribution in 1928.

Meanings

1. A generalisation of the chi-square distribution to an arbitrary (integer) number of dimensions, or of the gamma distribution to a non-integer number of degrees of freedom.
   • The basic properties of Wishart distributions are studied in Section 7.3. 2008, Martin Bilodeau, David Brenner, Theory of Multivariate Statistics, Springer, page 85:
   • Recall from Appendix B that the Wishart distribution W#95;d(#92;Sigma,n) is characterized by a positive definite matrix #92;Sigma and the degrees of freedom n. 2015, Sudharman K. Jayaweera, Signal Processing for Cognitive Radios, Wiley, page 459:
   • The novelty of this work lies in its incorporation of a general conjugate prior distribution for the covariance matrix, namely a generalized inverted Wishart distribution (GIW). As its name suggests, this distribution, discovered by Brown et al. (1994b) generalizes the well-known inverted Wishart distribution. 2006, Nhu D. Le, James V. Zidek, Statistical Analysis of Environmental Space-Time Processes, Springer, page 142:

Forms

wikipedia: John Wishart