A generalization of Wishart density for the case when the inverse of the covariance matrix is a band matrix
Kryštof Eben (1994)
Mathematica Bohemica
Similarity:
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.