A Tutorial on Multivariate Statistical Analysis
•The Wishart distribution is the multivariate generalization of the chi-squared distribution. •A∼Wp(n,Σ) is positive definite with probability one if and only if n≥p. •The sample covariance matrix, S= 1 n−1 A is Wp(n−1, 1 n−1 Σ). 10
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