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arXiv · 2405.16088

Estimating the normal-inverse-Wishart distribution

Jonathan So
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Abstract

The normal-inverse-Wishart (NIW) distribution is commonly used as a prior distribution for the mean and covariance parameters of a multivariate normal distribution. The family of NIW distributions is also a minimal exponential family. In this short note we describe a convergent procedure for converting from mean parameters to natural parameters in the NIW family, or -- equivalently -- for performing maximum likelihood estimation of the natural parameters given observed sufficient statistics. This is needed, for example, when using a NIW base family in expectation propagation.

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Jonathan So. 2024-05-25. Estimating the normal-inverse-Wishart distribution. https://arxiv.org/abs/2405.16088

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