Inverse matrix gamma distribution

Inverse matrix gamma

shape parameter (real)
scale parameter

scale (positive-definite real matrix)
Support positive-definite real matrix

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.

This reduces to the inverse Wishart distribution with .

See also


  1. Iranmanesha, Anis, M. Arashib and S. M. M. Tabatabaeya (2010). "On Conditional Applications of Matrix Variate Normal Distribution". Iranian Journal of Mathematical Sciences and Informatics, 5:2, pp. 33–43.
This article is issued from Wikipedia - version of the 12/31/2014. The text is available under the Creative Commons Attribution/Share Alike but additional terms may apply for the media files.