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Normal-inverse-Wishart distribution : ウィキペディア英語版 | Normal-inverse-Wishart distribution
In probability theory and statistics, the normal-inverse-Wishart distribution (or Gaussian-inverse-Wishart distribution) is a multivariate four-parameter family of continuous probability distributions. It is the conjugate prior of a multivariate normal distribution with unknown mean and covariance matrix (the inverse of the precision matrix).〔Murphy, Kevin P. (2007). "Conjugate Bayesian analysis of the Gaussian distribution." ()〕 ==Definition== Suppose : has a multivariate normal distribution with mean and covariance matrix , where : has an inverse Wishart distribution. Then has a normal-inverse-Wishart distribution, denoted as :
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