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Inverse-Wishart distribution : ウィキペディア英語版 | Inverse-Wishart distribution }}\Gamma_p(\frac)} \left|\mathbf\right|^}e^\operatorname(\mathbf^)} * is the multivariate gamma function * is the trace function | cdf =| mean = For | median =| mode = | variance =see below| skewness =| kurtosis =| entropy =| mgf =| char =| }} In statistics, the inverse Wishart distribution, also called the inverted Wishart distribution, is a probability distribution defined on real-valued positive-definite matrices. In Bayesian statistics it is used as the conjugate prior for the covariance matrix of a multivariate normal distribution. We say follows an inverse Wishart distribution, denoted as , if its inverse has a Wishart distribution . Important identities have been derived for Inverse-Wishart distribution.〔 ==Density== The probability density function of the inverse Wishart is: : where and are positive definite matrices, and Γ''p''(·) is the multivariate gamma function.
抄文引用元・出典: フリー百科事典『 ウィキペディア(Wikipedia)』 ■ウィキペディアで「Inverse-Wishart distribution」の詳細全文を読む
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