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Distribution of the sum of Wishart distributed random matrices
Suppose
\begin{equation}
A_1 \sim \mathcal{W}(A_1; \Psi_1, v_1)\\
A_2 \sim \mathcal{W}(A_2; \Psi_2, v_2),
\end{equation}
where $\mathcal{W}$ is the Wishart distribution and $A_i$, and $\Psi_i$ are PSD ...
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