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28 Covariance Matrix Distributions

The covariance matrix distributions have support on symmetric, positive-definite \(K \times K\) matrices or their Cholesky factors (square, lower triangular matrices with positive diagonal elements).

• Wishart Distribution
• Wishart Distribution, Cholesky Parameterization
• Inverse Wishart Distribution
• Inverse Wishart Distribution, Cholesky Parameterization