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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
: \boldsymbol\mu|\boldsymbol\mu_0,\lambda,\boldsymbol\Sigma \sim \mathcal\left(\boldsymbol\mu\Big|\boldsymbol\mu_0,\frac\boldsymbol\Sigma\right)
has a multivariate normal distribution with mean \boldsymbol\mu_0 and covariance matrix \tfrac\boldsymbol\Sigma, where
:\boldsymbol\Sigma|\boldsymbol\Psi,\nu \sim \mathcal^(\boldsymbol\Sigma|\boldsymbol\Psi,\nu)
has an inverse Wishart distribution. Then (\boldsymbol\mu,\boldsymbol\Sigma)
has a normal-inverse-Wishart distribution, denoted as
: (\boldsymbol\mu,\boldsymbol\Sigma) \sim \mathrm(\boldsymbol\mu_0,\lambda,\boldsymbol\Psi,\nu) .


抄文引用元・出典: フリー百科事典『 ウィキペディア(Wikipedia)
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