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A generalization of Wishart density for the case when the inverse of the covariance matrix is a band matrix

Kryštof Eben — 1994

Mathematica Bohemica

In a multivariate normal distribution, let the inverse of the covariance matrix be a band matrix. The distribution of the sufficient statistic for the covariance matrix is derived for this case. It is a generalization of the Wishart distribution. The distribution may be used for unbiased density estimation and construction of classification rules.

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