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️Wed Jul 01 2015

matrix normal distribution

The matrix normal distribution is a probability distribution that is a generalization of the normal distribution. The probability density function for the random matrix X (n × p) that follows the matrix normal distribution has the form

$p(\mathbf{X}|\mathbf{M}, {\boldsymbol \Omega}, {\boldsymbol \Sigma}) =(2\pi)^{-np/2} |{\boldsymbol \Omega}|^{-p/2} |{\boldsymbol \Sigma}|^{-n/2} \exp\left( -\frac{1}{2} \mbox{tr}\left[ {\boldsymbol \Omega}^{-1} (\mathbf{X} - \mathbf{M}) {\boldsymbol \Sigma}^{-1} (\mathbf{X} - \mathbf{M})^{T} \right] \right).$

	Probability distributions []
Univariate	Multivariate
Discrete:	Benford • Bernoulli • binomial • Boltzmann • categorical • compound Poisson • discrete phase-type • degenerate • Gauss-Kuzmin • geometric • hypergeometric • logarithmic • negative binomial • parabolic fractal • Poisson • Rademacher • Skellam • uniform • Yule-Simon • zeta • Zipf • Zipf-Mandelbrot	Ewens • multinomial • multivariate Polya
Continuous:	Beta • Beta prime • Cauchy • chi-square • Dirac delta function • Coxian • Erlang • exponential • exponential power • F • fading • Fisher's z • Fisher-Tippett • Gamma • generalized extreme value • generalized hyperbolic • generalized inverse Gaussian • Half-Logistic • Hotelling's T-square • hyperbolic secant • hyper-exponential • hypoexponential • inverse chi-square (scaled inverse chi-square)• inverse Gaussian • inverse gamma (scaled inverse gamma) • Kumaraswamy • Landau • Laplace • Lévy • Lévy skew alpha-stable • logistic • log-normal • Maxwell-Boltzmann • Maxwell speed • normal (Gaussian) • normal-gamma • normal inverse Gaussian • Pareto • Pearson • phase-type • polar • raised cosine • Rayleigh • relativistic Breit-Wigner • Rice • shifted Gompertz • Student's t • triangular • type-1 Gumbel • type-2 Gumbel • uniform • Variance-Gamma • Voigt • von Mises • Weibull • Wigner semicircle • Wilks' lambda	Dirichlet • inverse-Wishart • Kent • matrix normal • multivariate normal • multivariate Student • von Mises-Fisher • Wigner quasi • Wishart
Miscellaneous:	Cantor • conditional • equilibrium • exponential family • infinitely divisible • location-scale family • marginal • maximum entropy • posterior • prior • quasi • sampling • singular

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