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

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Downsides of inverse Wishart prior in hierarchical models

Here are some relevant resources (full disclosure: the first link is to a paper of mine): http://newprairiepress.org/agstatconference/2014/proceedings/8 http://www.themattsimpson.com/2012/08/20/prio …
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