Inverted Wishart Distribution, Generalized
Statistical Theory and Methods
Published Online: 15 SEP 2006
Copyright © 2002 John Wiley & Sons, Ltd
Encyclopedia of Environmetrics
How to Cite
Brown, P. J. 2006. Inverted Wishart Distribution, Generalized. Encyclopedia of Environmetrics. 3.
- Published Online: 15 SEP 2006
The generalized inverted Wishart (GIW) distribution is a flexible extension of the inverted Wishart (IW) distribution which overcomes the major deficiency of that distribution whilst retaining much of the ease of computation inherent in the natural conjugate roots of the inverted Wishart distribution in Bayesian analysis for normal sampling. In offering a more flexible prior distribution for the covariance matrix of a multivariate normal distribution it has general applicability. It also offers a conjugate Bayesian analysis for problems of missing data where the missing data has a monotone structure. It has been especially useful in simultaneous modeling of the spatial distribution of ozone where monitoring stations come on-stream in sequence, using multivariate regression analysis for interpolation and prediction.