Class WishartEstimator

Estimates a Wishart distribution from samples.

Inheritance
Object
WishartEstimator
Inherited Members
Namespace: Microsoft.ML.Probabilistic.Distributions
Assembly: Microsoft.ML.Probabilistic.dll
Syntax
public class WishartEstimator : Estimator<Wishart>, Accumulator<Wishart>, Accumulator<PositiveDefiniteMatrix>, SettableTo<WishartEstimator>, ICloneable
Remarks
    The distribution is estimated via moment matching (not maximum-likelihood).
    E[X] = (a+(d+1)/2)/B
    var(X_ii) = (a+(d+1)/2)*diag(inv(B))^2
    because X_ii ~ Gamma(a+(d+1)/2, 1/diag(inv(B))).
    Therefore: 
    a = E[X_ii]^2/var(X_ii) - (d+1)/2
    B = (a+(d+1)/2)/E[X]

Constructors

WishartEstimator(Int32)

Creates a new Wishart estimator

Declaration
public WishartEstimator(int dimension)
Parameters
Type Name Description
Int32 dimension

The dimension of the Wishart distribution

Fields

mva

Where to accumulate mean and variance matrices

Declaration
public MatrixMeanVarianceAccumulator mva
Field Value
Type Description
MatrixMeanVarianceAccumulator

Properties

Dimension

The dimension of the Wishart distribution

Declaration
public int Dimension { get; }
Property Value
Type Description
Int32

Methods

Add(Wishart)

Adds a Wishart distribution item to the estimator

Declaration
public void Add(Wishart item)
Parameters
Type Name Description
Wishart item

The distribution instance to add

Add(Wishart, Double)

Declaration
public void Add(Wishart item, double weight)
Parameters
Type Name Description
Wishart item
Double weight

Add(PositiveDefiniteMatrix)

Adds a sample to the estimator

Declaration
public void Add(PositiveDefiniteMatrix item)
Parameters
Type Name Description
PositiveDefiniteMatrix item

The sample to add

Add(PositiveDefiniteMatrix, Double)

Declaration
public void Add(PositiveDefiniteMatrix item, double weight)
Parameters
Type Name Description
PositiveDefiniteMatrix item
Double weight

Clear()

Clears the estimator

Declaration
public void Clear()

Clone()

Returns a clone of this estimator.

Declaration
public object Clone()
Returns
Type Description
Object

GetDistribution(Wishart)

Retrieves the Wishart estimator

Declaration
public Wishart GetDistribution(Wishart result)
Parameters
Type Name Description
Wishart result

Where to put the result
Returns
Type Description
Wishart

The resulting distribution

SetTo(WishartEstimator)

Sets the state of this estimator from the specified estimator.

Declaration
public void SetTo(WishartEstimator value)
Parameters
Type Name Description
WishartEstimator value

Implements