Multivariate gamma function

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In mathematics, the multivariate gamma function, Γp(·), is a generalization of the gamma function. It is useful in multivariate statistics, appearing in the probability density function of the Wishart and inverse Wishart distributions.

It has two equivalent definitions. One is given as the following integral over the positive-definite real matrices:

The other one, more useful to obtain a numerical result is:

From this, we have the recursive relationships:

Thus

and so on.

Derivatives[edit]

We may define the multivariate digamma function as

and the general polygamma function as

Calculation steps[edit]

  • Since
it follows that
it follows that

References[edit]