Estimating the normal-inverse-Wishart distribution
<|reference_start|>Estimating the normal-inverse-Wishart distribution: The normal-inverse-Wishart (NIW) distribution is commonly used as a prior distribution for the mean and covariance parameters of a multivariate normal distribution. The family of NIW distributions is also a minimal exponential family. In this short note we describe a convergent procedure for converting from mean parameters to natural parameters in the NIW family, or -- equivalently -- for performing maximum likelihood estimation of the natural parameters given observed sufficient statistics. This is needed, for example, when using a NIW base family in expectation propagation.<|reference_end|>
@article{so2024estimating,
    title={Estimating the normal-inverse-Wishart distribution},
    author={Jonathan So},
    journal={arXiv preprint arXiv:2405.16088},
    year={2024},
    archivePrefix={arXiv},
    eprint={2405.16088},
    primaryClass={math.ST cs.LG stat.ML stat.TH}
}