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The Wishart distribution is a common matrix distribution on square symmetric semi-definite matrices.

9 votes
1 answer
454 views

Generate covariance matrix with fixed values in certain cells

I want to be able to generate a covariance matrix of dimensions $D$ x $D$, such that certain specified cells of this matrix contain a fixed predetermined values (at least approximately). For e.g. For …
steadyfish's user avatar
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1 vote
1 answer
1k views

Degrees of freedom for Gaussian Process

I am reading this paper on Generalised Wishart Process (GWP). It is about modelling covariance matrix of D - dimensional gaussian processes (GP) as GWP. I fail to understand interpretation of "degrees …
steadyfish's user avatar
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12 votes
1 answer
3k views

Covariance matrix for Gaussian Process and Wishart distribution

I'm reading through this paper on Generalised Wishart Processes (GWP). The paper calculates the covariances between different random variables (following Gaussian Process) using squared exponential co …
steadyfish's user avatar
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