Bayesian Inference
In Bayesian statistics, the conjugate prior of the mean vector is another multivariate normal distribution, and the conjugate prior of the covariance matrix is an inverse-Wishart distribution . Suppose then that n observations have been made
and that a conjugate prior has been assigned, where
where
and
Then,
where
Read more about this topic: Multivariate Normal Distribution
Famous quotes containing the word inference:
“Rules and particular inferences alike are justified by being brought into agreement with each other. A rule is amended if it yields an inference we are unwilling to accept; an inference is rejected if it violates a rule we are unwilling to amend. The process of justification is the delicate one of making mutual adjustments between rules and accepted inferences; and in the agreement achieved lies the only justification needed for either.”
—Nelson Goodman (b. 1906)