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inverse matrix gamma distribution
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* is the multivariate gamma function.|
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In statistics, the inverse matrix gamma distribution is a generalization of the inverse gamma distribution to positive-definite matrices.〔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.〕 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 ==
* inverse Wishart distribution.
* matrix gamma distribution.
* matrix normal distribution.
* matrix t-distribution.
* Wishart distribution.
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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