Adds `Wishart` and `InverseWishart` distributions

statrs-dev / statrs

Statistical computation library for Rust

https://docs.rs/statrs/latest/statrs/

MIT License

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Adds `Wishart` and `InverseWishart` distributions #169

Closed egordm closed 1 year ago

egordm commented 2 years ago

This pr adds Wishart and InverseWishart distributions along with multivariate gamma functions mvgamma and mvlgamma.

mathnet implementations were used as a reference: Wishart and Inverse Wishart The Distributions.jl Julia package was used to create the testcases and as a cross-reference.

Thanks