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In Bayesian statistics, in the context of the multivariate normal distribution, the Wishart distribution is the conjugate prior to the precision matrix Ω = Σ −1, where Σ is the covariance matrix. [11]: 135 [12]
A conjugate prior is an algebraic convenience, giving a closed-form expression for the posterior; otherwise, numerical integration may be necessary. Further, conjugate priors may give intuition by more transparently showing how a likelihood function updates a prior distribution.
In probability theory and statistics, the normal-Wishart distribution (or Gaussian-Wishart distribution) is a multivariate four-parameter family of continuous probability distributions. It is the conjugate prior of a multivariate normal distribution with unknown mean and precision matrix (the inverse of the covariance matrix ).
In statistics, the inverse Wishart distribution, also called the inverted Wishart distribution, is a probability distribution defined on real-valued positive-definite matrices. In Bayesian statistics it is used as the conjugate prior for the covariance matrix of a multivariate normal distribution.
In probability theory and statistics, the normal-inverse-Wishart distribution (or Gaussian-inverse-Wishart distribution) is a multivariate four-parameter family of continuous probability distributions. It is the conjugate prior of a multivariate normal distribution with unknown mean and covariance matrix (the inverse of the precision matrix). [1]
Pages in category "Conjugate prior distributions" The following 21 pages are in this category, out of 21 total. ... Normal-inverse-Wishart distribution; Normal ...
To obtain the Bayesian solution, we need to specify the conditional likelihood and then find the appropriate conjugate prior. As with the univariate case of linear Bayesian regression, we will find that we can specify a natural conditional conjugate prior (which is scale dependent).
An informative prior expresses specific, definite information about a variable. An example is a prior distribution for the temperature at noon tomorrow. A reasonable approach is to make the prior a normal distribution with expected value equal to today's noontime temperature, with variance equal to the day-to-day variance of atmospheric temperature, or a distribution of the temperature for ...