Wishart distribution in WinBUGS, Nonstandard Parameterization
Erik Barry Erhardt
The Wishart distribution and especially the inverse-Wishart distribution are the source of some confusion because they occasionally appear with alternative parameterizations. Also, the Wishart distribution can be used to model a covariance matrix or a precision matrix (the inverse of a covariance matrix) in different situations, and the inverse-Wishart the same, but the other way round. It’s already becoming complicated. In this post I hope to clarify the differences in Wishart parameterizations of BDA, the wikipedia pages, and the WinBUGS and OpenBUGS softwares, and show an example in OpenBUGS where the inverse parameterization has to be specified relative to the distribution’s definition for the correct posterior to result.
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