Matrix gamma distribution
In statistics, a matrix gamma distribution is a generalization of the gamma distribution to positive-definite matrices. It is a more general version of the Wishart distribution, and is used similarly, e.g. as the conjugate prior of the precision matrix of a multivariate normal distribution and matrix normal distribution. The compound distribution resulting from compounding a matrix normal with a matrix gamma prior over the precision matrix is a generalized matrix t-distribution.
|Parameters||scale (positive-definite real matrix)|
|Support||positive-definite real matrix|
This reduces to the Wishart distribution with
- Iranmanesh, Anis, M. Arashib and S. M. M. Tabatabaey (2010). "On Conditional Applications of Matrix Variate Normal Distribution". Iranian Journal of Mathematical Sciences and Informatics, 5:2, pp. 33–43.
- Gupta, A. K.; Nagar, D. K. (1999) Matrix Variate Distributions, Chapman and Hall/CRC ISBN 978-1584880462