Last Updated:2022/12/24
The novelty of this work lies in its incorporation of a general conjugate prior distribution for the covariance matrix, namely a generalized inverted Wishart distribution (GIW). As its name suggests, this distribution, discovered by Brown et al. (1994b) generalizes the well-known inverted Wishart distribution.
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The
novelty
of
this
work
lies
in
its
incorporation
of
a
general
conjugate
prior
distribution
for
the
covariance
matrix,
namely
a
generalized
inverted
Wishart
distribution
(GIW).
As
its
name
suggests,
this
distribution,
discovered
by
Brown
et
al.
(1994b)
generalizes
the
well-known
inverted
Wishart
distribution.