Wishart distribution
In statistics, the Wishart distribution is a generalization of the gamma distribution to multiple dimensions. It is named in honor of John Wishart, who first formulated the distribution in 1928. Other names include Wishart ensemble, or... Wikipedia
Mode: (n − p − 1)V for n ≥ p + 1
Notation: X ~ Wp(V, n)
Parameters: n > p − 1 degrees of freedom (real); V > 0 scale matrix (p × p pos. def)
PDF: Γp is the multivariate gamma function; tr is the trace function
Support: X(p × p) positive definite matrix
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