Inverse-Wishart distribution

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Inverse-Wishart
Notation	${\mathcal {W}}^{{-1}}({{\mathbf \Psi }},\nu )$
Parameters	$\nu >p-1$ degrees of freedom (real) ${\mathbf {\Psi }}>0$ scale matrix (pos. def)
Support	${\mathbf {X}}$ is positive definite
pdf	${\frac {\left\|{{\mathbf \Psi }}\right\|^{{{\frac {\nu }{2}}}}}{2^{{{\frac {\nu p}{2}}}}\Gamma _{p}({\frac {\nu }{2}})}}\left\|{\mathbf {X}}\right\|^{{-{\frac {\nu +p+1}{2}}}}e^{{-{\frac {1}{2}}\operatorname {tr}({{\mathbf \Psi }}{\mathbf {X}}^{{-1}})}}$ $\Gamma _{p}$ is the multivariate gamma function ${\mathrm {tr}}$ is the trace function
Mean	${\frac {{\mathbf {\Psi }}}{\nu -p-1}}$
Mode	${\frac {{\mathbf {\Psi }}}{\nu +p+1}}$ ^[1]^:406
Variance	see below

In statistics, the inverse Wishart distribution, also called the inverted Wishart distribution, is a probability distribution defined on real-valued positive-definite matrices. In Bayesian statistics it is used as the conjugate prior for the covariance matrix of a multivariate normal distribution.

We say ${\mathbf {X}}$ follows an inverse Wishart distribution, denoted as ${\mathbf {X}}\sim {\mathcal {W}}^{{-1}}({{\mathbf \Psi }},\nu )$ , if its inverse ${\mathbf {X}}^{{-1}}$ has a Wishart distribution ${\mathcal {W}}({{\mathbf \Psi }}^{{-1}},\nu )$ .

Density

The probability density function of the inverse Wishart is:

${\frac {\left|{{\mathbf \Psi }}\right|^{{{\frac {\nu }{2}}}}}{2^{{{\frac {\nu p}{2}}}}\Gamma _{p}({\frac {\nu }{2}})}}\left|{\mathbf {X}}\right|^{{-{\frac {\nu +p+1}{2}}}}e^{{-{\frac {1}{2}}\operatorname {tr}({{\mathbf \Psi }}{\mathbf {X}}^{{-1}})}}$

where ${\mathbf {X}}$ and ${{\mathbf \Psi }}$ are $p\times p$ positive definite matrices, and Γ_p(·) is the multivariate gamma function.

Theorems

Distribution of the inverse of a Wishart-distributed matrix

If ${{\mathbf A}}\sim {\mathcal {W}}({{\mathbf \Sigma }},\nu )$ and ${{\mathbf \Sigma }}$ is of size $p\times p$ , then ${\mathbf {X}}={{\mathbf A}}^{{-1}}$ has an inverse Wishart distribution ${\mathbf {X}}\sim {\mathcal {W}}^{{-1}}({{\mathbf \Sigma }}^{{-1}},\nu )$ .^[2]

Marginal and conditional distributions from an inverse Wishart-distributed matrix

Suppose ${{\mathbf A}}\sim {\mathcal {W}}^{{-1}}({{\mathbf \Psi }},\nu )$ has an inverse Wishart distribution. Partition the matrices ${{\mathbf A}}$ and ${{\mathbf \Psi }}$ conformably with each other

${{\mathbf {A}}}={\begin{bmatrix}{\mathbf {A}}_{{11}}&{\mathbf {A}}_{{12}}\\{\mathbf {A}}_{{21}}&{\mathbf {A}}_{{22}}\end{bmatrix}},\;{{\mathbf {\Psi }}}={\begin{bmatrix}{\mathbf {\Psi }}_{{11}}&{\mathbf {\Psi }}_{{12}}\\{\mathbf {\Psi }}_{{21}}&{\mathbf {\Psi }}_{{22}}\end{bmatrix}}$

where ${{\mathbf A}_{{ij}}}$ and ${{\mathbf \Psi }_{{ij}}}$ are $p_{{i}}\times p_{{j}}$ matrices, then we have

i) ${{\mathbf A}_{{11}}}$ is independent of ${{\mathbf A}}_{{11}}^{{-1}}{{\mathbf A}}_{{12}}$ and ${{\mathbf A}}_{{22\cdot 1}}$ , where ${{\mathbf A}_{{22\cdot 1}}}={{\mathbf A}}_{{22}}-{{\mathbf A}}_{{21}}{{\mathbf A}}_{{11}}^{{-1}}{{\mathbf A}}_{{12}}$ is the Schur complement of ${{\mathbf A}_{{11}}}$ in ${{\mathbf A}}$ ;

ii) ${{\mathbf A}_{{11}}}\sim {\mathcal {W}}^{{-1}}({{\mathbf \Psi }_{{11}}},\nu -p_{{2}})$ ;

iii) ${{\mathbf A}}_{{11}}^{{-1}}{{\mathbf A}}_{{12}}|{{\mathbf A}}_{{22\cdot 1}}\sim MN_{{p_{{1}}\times p_{{2}}}}({{\mathbf \Psi }}_{{11}}^{{-1}}{{\mathbf \Psi }}_{{12}},{{\mathbf A}}_{{22\cdot 1}}\otimes {{\mathbf \Psi }}_{{11}}^{{-1}})$ , where $MN_{{p\times q}}(\cdot ,\cdot )$ is a matrix normal distribution;

iv) ${{\mathbf A}}_{{22\cdot 1}}\sim {\mathcal {W}}^{{-1}}({{\mathbf \Psi }}_{{22\cdot 1}},\nu )$ , where ${{\mathbf \Psi }_{{22\cdot 1}}}={{\mathbf \Psi }}_{{22}}-{{\mathbf \Psi }}_{{21}}{{\mathbf \Psi }}_{{11}}^{{-1}}{{\mathbf \Psi }}_{{12}}$ ;

Conjugate distribution

Suppose we wish to make inference about a covariance matrix ${{\mathbf {\Sigma }}}$ whose prior ${p({\mathbf {\Sigma }})}$ has a ${\mathcal {W}}^{{-1}}({{\mathbf \Psi }},\nu )$ distribution. If the observations ${\mathbf {X}}=[{\mathbf {x}}_{1},\ldots ,{\mathbf {x}}_{n}]$ are independent p-variate Gaussian variables drawn from a $N({\mathbf {0}},{{\mathbf \Sigma }})$ distribution, then the conditional distribution ${p({\mathbf {\Sigma }}|{\mathbf {X}})}$ has a ${\mathcal {W}}^{{-1}}({{\mathbf A}}+{{\mathbf \Psi }},n+\nu )$ distribution, where ${{\mathbf {A}}}={\mathbf {X}}{\mathbf {X}}^{T}$ is $n-1$ times the sample covariance matrix.

Because the prior and posterior distributions are the same family, we say the inverse Wishart distribution is conjugate to the multivariate Gaussian.

Due to its conjugacy to the multivariate Gaussian, it is possible to marginalize out (integrate out) the Gaussian's parameter ${\mathbf {\Sigma }}$ .

$P({\mathbf {X}}|{\mathbf {\Psi }},\nu )=\int P({\mathbf {X}}|{\mathbf {\Sigma }})P({\mathbf {\Sigma }}|{\mathbf {\Psi }},\nu )d{\mathbf {\Sigma }}={\frac {|{\mathbf {\Psi }}|^{{{\frac {\nu }{2}}}}\Gamma _{p}\left({\frac {\nu +n}{2}}\right)}{\pi ^{{{\frac {np}{2}}}}|{\mathbf {\Psi }}+{\mathbf {A}}|^{{{\frac {\nu +n}{2}}}}\Gamma _{p}({\frac {\nu }{2}})}}$

(this is useful because the variance matrix ${\mathbf {\Sigma }}$ is not known in practice, but because ${{\mathbf \Psi }}$ is known a priori, and ${{\mathbf A}}$ can be obtained from the data, the right hand side can be evaluated directly).

Moments

The following is based on Press, S. J. (1982) "Applied Multivariate Analysis", 2nd ed. (Dover Publications, New York), after reparameterizing the degree of freedom to be consistent with the p.d.f. definition above.

The mean:^[2]^:85

$E({\mathbf X})={\frac {{\mathbf \Psi }}{\nu -p-1}}.$

The variance of each element of ${\mathbf {X}}$ :

$\operatorname {Var}(x_{{ij}})={\frac {(\nu -p+1)\psi _{{ij}}^{2}+(\nu -p-1)\psi _{{ii}}\psi _{{jj}}}{(\nu -p)(\nu -p-1)^{2}(\nu -p-3)}}$

The variance of the diagonal uses the same formula as above with $i=j$ , which simplifies to:

$\operatorname {Var}(x_{{ii}})={\frac {2\psi _{{ii}}^{2}}{(\nu -p-1)^{2}(\nu -p-3)}}.$

The covariance of elements of ${\mathbf {X}}$ are given by:

$\operatorname {Cov}(x_{{ij}},x_{{kl}})={\frac {2\psi _{{ij}}\psi _{{kl}}+(\nu -p-1)(\psi _{{ik}}\psi _{{jl}}+\psi _{{il}}\psi _{{kj}})}{(\nu -p)(\nu -p-1)^{2}(\nu -p-3)}}$

Related distributions

A univariate specialization of the inverse-Wishart distribution is the inverse-gamma distribution. With $p=1$ (i.e. univariate) and $\alpha =\nu /2$ , $\beta ={\mathbf {\Psi }}/2$ and $x={\mathbf {X}}$ the probability density function of the inverse-Wishart distribution becomes

$p(x|\alpha ,\beta )={\frac {\beta ^{\alpha }\,x^{{-\alpha -1}}\exp(-\beta /x)}{\Gamma _{1}(\alpha )}}.$

i.e., the inverse-gamma distribution, where $\Gamma _{1}(\cdot )$ is the ordinary Gamma function.

A generalization is the inverse multivariate gamma distribution.

Another generalization has been termed the generalized inverse Wishart distribution, ${\mathcal {GW}}^{{-1}}$ . A $p\times p$ positive definite matrix ${\mathbf {X}}$ is said to be distributed as ${\mathcal {GW}}^{{-1}}({\mathbf {\Psi }},\nu ,{\mathbf {S}})$ if ${\mathbf {Y}}={\mathbf {X}}^{{1/2}}{\mathbf {S}}^{{-1}}{\mathbf {X}}^{{1/2}}$ is distributed as ${\mathcal {W}}^{{-1}}({\mathbf {\Psi }},\nu )$ . Here ${\mathbf {X}}^{{1/2}}$ denotes the symmetric matrix square root of ${\mathbf {X}}$ , the parameters ${\mathbf {\Psi }},{\mathbf {S}}$ are $p\times p$ positive definite matrices, and the parameter $\nu$ is a positive scalar larger than $2p$ . Note that when ${\mathbf {S}}$ is equal to an identity matrix, ${\mathcal {GW}}^{{-1}}({\mathbf {\Psi }},\nu ,{\mathbf {S}})={\mathcal {W}}^{{-1}}({\mathbf {\Psi }},\nu )$ . This generalized inverse Wishart distribution has been applied to estimating the distributions of multivariate autoregressive processes.^[3]

A different type of generalization is the normal-inverse-Wishart distribution, essentially the product of a multivariate normal distribution with an inverse Wishart distribution.

References

↑ A. O'Hagan, and J. J. Forster (2004). Kendall's Advanced Theory of Statistics: Bayesian Inference 2B (2 ed.). Arnold. ISBN 0-340-80752-0.
↑ 2.0 2.1 Kanti V. Mardia, J. T. Kent and J. M. Bibby (1979). Multivariate Analysis. Academic Press. ISBN 0-12-471250-9.
↑ Triantafyllopoulos, K. (2011). "Real-time covariance estimation for the local level model". Journal of Time Series Analysis 32 (2): 93–107. doi:10.1111/j.1467-9892.2010.00686.x.

Probability distributions

Discrete univariate with finite support

Benford Bernoulli Beta-binomial binomial categorical hypergeometric Poisson binomial Rademacher discrete uniform Zipf Zipf–Mandelbrot

Discrete univariate with infinite support

beta negative binomial Borel Conway–Maxwell–Poisson discrete phase-type Delaporte extended negative binomial Gauss–Kuzmin geometric logarithmic negative binomial parabolic fractal Poisson Skellam Yule–Simon zeta

Continuous univariate supported on a bounded interval, e.g. [0,1]

Arcsine ARGUS Balding–Nichols Bates Beta Beta rectangular Irwin–Hall Kumaraswamy logit-normal Noncentral beta raised cosine Triangular U-quadratic uniform Wigner semicircle Xenakis

[[List of probability distributions#Supported_on_semi-infinite_intervals.2C_usually_.5B0.2C.E2.88.9E.29|Continuous univariate supported on a semi-infinite interval, usually [0,∞)]]

Benini
Benktander 1st kind
Benktander 2nd kind
Beta prime
Burr
chi-squared
chi
Coxian
Dagum
Davis
EL
Erlang
exponential
F
folded normal
Flory-Schulz
Fréchet
Gamma
Gamma/Gompertz
generalized inverse Gaussian
Gompertz
half-logistic
half-normal
Hotelling's T-squared
hyper-Erlang
hyperexponential
hypoexponential
inverse chi-squared (scaled inverse chi-squared)
inverse Gaussian
inverse gamma
Kolmogorov
Lévy
log-Cauchy
log-Laplace
log-logistic
log-normal
Maxwell–Boltzmann
Maxwell–Jüttner
Mittag–Leffler
Nakagami
noncentral chi-squared
Pareto
phase-type
Poly-Weibull
Rayleigh
relativistic Breit–Wigner
Rice
Rosin–Rammler
shifted Gompertz
truncated normal
type-2 Gumbel
Weibull
Wilks' lambda

Continuous univariate supported on the whole real line (−∞, ∞)

Cauchy exponential power Fisher's z generalized normal generalized hyperbolic geometric stable Gumbel Holtsmark hyperbolic secant Johnson SU Landau Laplace Linnik logistic noncentral t normal (Gaussian) normal-inverse Gaussian skew normal slash stable Student's t type-1 Gumbel variance-gamma Voigt

Continuous univariate with support whose type varies

generalized extreme value generalized Pareto Tukey lambda q-Gaussian q-exponential shifted log-logistic

Mixed continuous-discrete univariate distributions

rectified Gaussian

Multivariate (joint)

Discrete Ewens multinomial Dirichlet-multinomial negative multinomial Continuous Dirichlet Generalized Dirichlet multivariate normal Multivariate stable multivariate Student normal-scaled inverse gamma normal-gamma Matrix-valued inverse matrix gamma inverse-Wishart matrix normal matrix t matrix gamma normal-inverse-Wishart normal-Wishart Wishart

Directional

Univariate (circular) directional Circular uniform univariate von Mises wrapped normal wrapped Cauchy wrapped exponential wrapped Lévy Bivariate (spherical) Kent Bivariate (toroidal) bivariate von Mises Multivariate von Mises–Fisher Bingham

Degenerate and singular

Degenerate discrete degenerate Dirac delta function Singular Cantor

Families

Circular compound Poisson elliptical exponential natural exponential location-scale maximum entropy mixture Pearson Tweedie wrapped

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