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Truncated inverse Wishart distribution

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  • Subject: [mg126584] Truncated inverse Wishart distribution
  • From: paul <paulvonhippel at>
  • Date: Mon, 21 May 2012 05:57:14 -0400 (EDT)
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I would like to calculate the mean of a truncated inverse Wishart distribution? I.e., if B is an inverse Wishart variable, then I'd like to calculate E(B|B<W), where B<W means that W-B is positive definite.

I have the answer for the degenerate case where B and W are scalars -- that is, where B is an inverse chi-square variable and W is a scalar constant. The answer then is a ratio of gamma functions, and you can get it using the TruncatedDistribution function and the InverseChiSquareDistribution.

It seems to me I should be able to work up from the scalar answer to the matrix answer, but I'm not sure how. Any hints most appreciated.

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