A Note on Wishart and Inverse Wishart Priors for Covariance Matrix
Keywords:Wishart distribution, inverse Wishart distribution, prior distribution, covariance matrix
For inference involving a covariance matrix, inverse Wishart priors are often used in Bayesian analysis. To help researchers better understand the influence of inverse Wishart priors, we provide a concrete example based on the analysis of a two by two covariance matrix. Recommendations are provided on how to specify an inverse Wishart prior.