Estimate parameters of inv-Wishart distribution using Bayesian

by Ding Li   Last Updated July 11, 2019 19:19 PM

$\Sigma \sim Inv-Wishart_{v}(\Lambda^{-1})$

Suppose that I have a set of observations of $\Sigma$s, I wonder if there is a conjugate way to estimate the value of $v$ and $\Lambda$ (especially $\Lambda)$ using the Bayesian approach? If there is, what priors should be used for $\Lambda$, and what is the formula for the posterior?

Any answers or references are highly appreciated!



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