Yihui Xie

Status of Wishart distribution in multivariate statistics

谢益辉 / 2006-09-06


I found a book named “An introduction to Wishart distribution” in our library when I was thumbing through some books, and was surprised by the thickness of this book (more than 250 pages). During the 4th year in RUC as an undergraduate, we’ve learned multivariate statistics, however, this course, to be honest, is disappointing… I did’t know that distribution even after when we’d finished this course.

In the last term, I began to notice it when I was studying “Structural Equation Models”, because we should use this knowledge to do parameter estimation (using MLE). So I continued to study multivariate statistics, and till then I was aware of the importance of Wishart Distribution.