Wishart distribution

Summary

The Wishart distribution is a probability distribution on symmetric positive semidefinite matrices. It is the distribution of the scatter matrix $\sum_i X_i X_i^T$ of independent centred multivariate normal vectors. It is the matrix version of the chi-squared distribution, and it is the sampling distribution of the sample covariance matrix of normal data. In Bayesian statistics it is the conjugate prior of the precision matrix of a multivariate normal distribution.