Visualizing Distributions of Covariance Matrices ∗

@inproceedings{Tokuda2011VisualizingDO,
  title={Visualizing Distributions of Covariance Matrices ∗},
  author={Tomoki Tokuda and Ben Goodrich and Iven Van Mechelen and Andrew Gelman and Francis Tuerlinckx},
  year={2011}
}
We present some methods for graphing distributions of covariance matrices and demonstrate them on several models, including the Wishart, inverse-Wishart, and scaled inverse-Wishart families in different dimensions. Our visualizations follow the principle of decomposing a covariance matrix into scale parameters and correlations, pulling out marginal… CONTINUE READING