A Note on Wishart and Inverse Wishart Priors for Covariance Matrix

Zhiyong Zhang* [Contact author]
University of Notre Dame, USA
zzhang4@nd.edu

Abstract: For inference involving a covariance matrix, inverse Wishart priors are often used in Bayesian analysis. To help researchers better understand the influence of inverse Wishart priors, we provide a concrete example based on the analysis of a two by two covariance matrix. Recommendations are provided on how to specify an inverse Wishart prior.

Keywords: Wishart distribution • inverse Wishart distribution • prior distribution • covariance matrix

DOI: https://doi.org/10.35566/jbds/v1n2/p2

Fulltext: Read online

PDF: v1n2p2.pdf

Citation: (APA style) Zhang, Z. (2021). A Note on Wishart and Inverse Wishart Priors for Covariance Matrix. Journal of Behavioral Data Science, 1(2), 31-38. https://doi.org/10.35566/jbds/v1n2/p2

BibTex format:

@Article{Zhang2021a,
  author    = {Zhiyong Zhang},
  journal   = {Journal of Behavioral Data Science},
  title     = {A Note on Wishart and Inverse Wishart Priors for Covariance Matrix},
  year      = {2021},
  number    = {2},
  volume    = {1},
  doi       = {10.35566/jbds/v1n2/p2},
  publisher = {International Society for Data Science and Analytics},
}