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. This reduces to the inverse Wishart distribution with ν {\displaystyle \nu } degrees of freedom when β = 2 , α = ν 2 {\displaystyle \beta =2,\alpha ={\frac {\nu }{2}}} .
See also inverse Wishart distribution. matrix gamma distribution. matrix normal distribution. matrix t-distribution. Wishart distribution.
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