Inverse matrix gamma distribution
In statistics, the inverse matrix gamma distribution is a generalization of the inverse gamma distribution to positive-definite matrices. It is a more general version of the inverse Wishart distribution, and is used similarly, e.g. as the conjugate prior of the covariance matrix of a multivariate normal distribution or matrix normal distribution. The compound distribution resulting from compounding a matrix normal with an inverse matrix gamma prior over the covariance matrix is a generalized matrix t-distribution.
|Parameters||scale (positive-definite real matrix)|
|Support||positive-definite real matrix|
This reduces to the inverse Wishart distribution with degrees of freedom when .
- Iranmanesha, Anis; Arashib, M.; Tabatabaeya, S. M. M. (2010). "On Conditional Applications of Matrix Variate Normal Distribution". Iranian Journal of Mathematical Sciences and Informatics. 5 (2): 33–43.