InverseWishartDistribution Class

[SerializableAttribute]
public class InverseWishartDistribution : MatrixContinuousDistribution

<SerializableAttribute>
Public Class InverseWishartDistribution
	Inherits MatrixContinuousDistribution

// Create a Inverse Wishart with the parameters
var invWishart = new InverseWishartDistribution(

    // Degrees of freedom
    degreesOfFreedom: 4,

    // Scale parameter
    inverseScale: new double[,] 
    {
         {  1.7, -0.2 },
         { -0.2,  5.3 },
    }
);

// Common measures
double[] var = invWishart.Variance;  // { -3.4, -10.6 }
double[,] cov = invWishart.Covariance;  // see below
double[,] mmean = invWishart.MeanMatrix; // see below

//        cov                mean
//   -5.78   -4.56        1.7  -0.2 
//   -4.56  -56.18       -0.2   5.3 

// (the above matrix representations have been transcribed to text using)
string scov = cov.ToString(DefaultMatrixFormatProvider.InvariantCulture);
string smean = mmean.ToString(DefaultMatrixFormatProvider.InvariantCulture);

// For compatibility reasons, .Mean stores a flattened mean matrix
double[] mean = invWishart.Mean; // { 1.7, -0.2, -0.2, 5.3 }


// Probability density functions
double pdf = invWishart.ProbabilityDensityFunction(new double[,] 
{
    {  5.2,  0.2 }, // 0.000029806281690351203
    {  0.2,  4.2 },
});

double lpdf = invWishart.LogProbabilityDensityFunction(new double[,] 
{
    {  5.2,  0.2 }, // -10.420791391688828
    {  0.2,  4.2 },
});