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Truncated inverse Wishart distribution
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paul
May 21, 2012, 5:57:34 AM5/21/12
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I would like to calculate the mean of a truncated inverse Wishart distribution? I.e., if B is an inverse Wishart variable, then I'd like to calculate E(B|B<W), where B<W means that W-B is positive definite.
I have the answer for the degenerate case where B and W are scalars -- that is, where B is an inverse chi-square variable and W is a scalar constant. The answer then is a ratio of gamma functions, and you can get it using the TruncatedDistribution function and the InverseChiSquareDistribution.
It seems to me I should be able to work up from the scalar answer to the matrix answer, but I'm not sure how. Any hints most appreciated.
I have the answer for the degenerate case where B and W are scalars -- that is, where B is an inverse chi-square variable and W is a scalar constant. The answer then is a ratio of gamma functions, and you can get it using the TruncatedDistribution function and the InverseChiSquareDistribution.
It seems to me I should be able to work up from the scalar answer to the matrix answer, but I'm not sure how. Any hints most appreciated.
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