Wishart matrices

A Wishart matrix is a mathematical object used in statistics to understand the variability of multiple data variables simultaneously. It’s formed by multiplying a data matrix by its transpose, capturing how variables co-vary. This matrix helps in estimating covariance, which describes how pairs of variables relate, and is fundamental in multivariate analysis, such as principal component analysis or signal processing. Essentially, it provides a structured way to analyze and interpret complex relationships in multivariate data, especially when dealing with random or uncertain datasets.