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)
“The definition of good prose is proper words in their proper places; of good verse, the most proper words in their proper places. The propriety is in either case relative. The words in prose ought to express the intended meaning, and no more; if they attract attention to themselves, it is, in general, a fault.”
—Samuel Taylor Coleridge (1772–1834)
“The very definition of the real becomes: that of which it is possible to give an equivalent reproduction.... The real is not only what can be reproduced, but that which is always already reproduced. The hyperreal.”
—Jean Baudrillard (b. 1929)