Wishart distribution

Named in honour of Scottish mathematician John Wishart, who formulated the distribution in 1928.

Wishart distribution (plural Wishart distributions)

1. (statistics) A generalisation of the chi-square distribution to an arbitrary (integer) number of dimensions, or of the gamma distribution to a non-integer number of degrees of freedom.
   • 2006, Nhu D. Le, James V. Zidek, Statistical Analysis of Environmental Space-Time Processes, Springer, page 142:

     The novelty of this work lies in its incorporation of a general conjugate prior distribution for the covariance matrix, namely a generalized inverted Wishart distribution (GIW). As its name suggests, this distribution, discovered by Brown et al. (1994b) generalizes the well-known inverted Wishart distribution.

   • 2008, Martin Bilodeau, David Brenner, Theory of Multivariate Statistics, Springer, page 85:

     The basic properties of Wishart distributions are studied in Section 7.3.

   • 2015, Sudharman K. Jayaweera, Signal Processing for Cognitive Radios, Wiley, page 459:

     Recall from Appendix B that the Wishart distribution ${\displaystyle W_{d}(\Sigma ,n)}$ is characterized by a positive definite matrix ${\displaystyle \Sigma }$ and the degrees of freedom ${\displaystyle n}$.