In statistics, the inverse Dirichlet distribution is a derivation of the matrix variate Dirichlet distribution. It is related to the inverse Wishart distribution.

Suppose are positive definite matrices with a matrix variate Dirichlet distribution, . Then have an inverse Dirichlet distribution, written . Their joint probability density function is given by

References

A. K. Gupta and D. K. Nagar 1999. "Matrix variate distributions". Chapman and Hall.


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