Definition
Suppose X is an n × p matrix, each row of which is independently drawn from a p-variate normal distribution with zero mean:
Then the Wishart distribution is the probability distribution of the p×p random matrix
known as the scatter matrix. One indicates that S has that probability distribution by writing
The positive integer n is the number of degrees of freedom. Sometimes this is written W(V, p, n). For n ≥ p the matrix S is invertible with probability 1 if V is invertible.
If p = 1 and V = 1 then this distribution is a chi-squared distribution with n degrees of freedom.
Read more about this topic: Wishart Distribution
Famous quotes containing the word definition:
“... we all know the wag’s definition of a philanthropist: a man whose charity increases directly as the square of the distance.”
—George Eliot [Mary Ann (or Marian)
“I’m beginning to think that the proper definition of “Man” is “an animal that writes letters.””
—Lewis Carroll [Charles Lutwidge Dodgson] (1832–1898)
“Perhaps the best definition of progress would be the continuing efforts of men and women to narrow the gap between the convenience of the powers that be and the unwritten charter.”
—Nadine Gordimer (b. 1923)