A Note on Wishart and Inverse Wishart Priors for Covariance Matrix
Zhiyong Zhang
Abstract
For inference involving a covariance matrix, inverse Wishart priors are often used in Bayesian analysis. To help researchers better understand the influence of inverse Wishart priors, we provide a concrete example based on the analysis of a two by two covariance matrix. Recommendations are provided on how to specify an inverse Wishart prior.
Topics & Concepts
Wishart distributionInverse-Wishart distributionPrior probabilityEstimation of covariance matricesMathematicsInverseCovarianceCovariance matrixApplied mathematicsBayesian probabilityStatisticsMultivariate statisticsGeometryAdvanced Statistical Methods and ModelsBayesian Modeling and Causal InferenceBlind Source Separation Techniques