WishartDistribution Class

[SerializableAttribute]
public class WishartDistribution : MatrixContinuousDistribution

<SerializableAttribute>
Public Class WishartDistribution
	Inherits MatrixContinuousDistribution

// Create a Wishart distribution with the parameters:
WishartDistribution wishart = new WishartDistribution(

    // Degrees of freedom
    degreesOfFreedom: 7,

    // Scale parameter
    scale: new double[,] 
    {
        { 4, 1, 1 },  
        { 1, 2, 2 },  // (must be symmetric and positive definite)
        { 1, 2, 6 },
    }
);

// Common measures
double[] var = wishart.Variance;  // { 224, 56, 504 }
double[,] cov = wishart.Covariance;   // see below
double[,] meanm = wishart.MeanMatrix; // see below

//         224  63  175             28  7   7 
//   cov =  63  56  112     mean =   7  14  14
//         175 112  504              7  14  42

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

// For compatibility reasons, .Mean stores a flattened mean matrix
double[] mean = wishart.Mean; // { 28, 7, 7, 7, 14, 14, 7, 14, 42 }


// Probability density functions
double pdf = wishart.ProbabilityDensityFunction(new double[,] 
{
    { 8, 3, 1 },
    { 3, 7, 1 },   //   0.000000011082455043473361
    { 1, 1, 8 },
});

double lpdf = wishart.LogProbabilityDensityFunction(new double[,] 
{
    { 8, 3, 1 },
    { 3, 7, 1 },   // -18.317902605850534
    { 1, 1, 8 },
});