Inverse matrix gamma distribution
|Parameters||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. 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 .
- inverse Wishart distribution.
- matrix gamma distribution.
- matrix normal distribution.
- matrix t-distribution.
- Wishart distribution.