Estimator of The Multivariate Normal Distribution
The Wishart distribution is the sampling distribution of the maximum-likelihood estimator (MLE) of the covariance matrix of a multivariate normal distribution with mean zero. A derivation of the MLE uses the spectral theorem.
Read more about this topic: Wishart Distribution
Famous quotes containing the words normal and/or distribution:
“Marriages will survive despite enormous strains. A lover will ask, “Is he happy? Can he still love her?” They don’t realise that’s not the point, it’s all the normal things they do together—going to the supermarket, choosing wallpaper, doing things with the children.”
—Carol Clewlow (b. 1947)
“The man who pretends that the distribution of income in this country reflects the distribution of ability or character is an ignoramus. The man who says that it could by any possible political device be made to do so is an unpractical visionary. But the man who says that it ought to do so is something worse than an ignoramous and more disastrous than a visionary: he is, in the profoundest Scriptural sense of the word, a fool.”
—George Bernard Shaw (1856–1950)