scipy/scipy — pull request #4135 by ChadFulton (2014-11-11 05:20:18+00:00)
Title: ENH: Add Wishart and inverse Wishart distributions

Adds `wishart` and `invwishart` to scipy.stats (also see #1063); Includes methods:

- `logpdf`
- `pdf`
- `mean`
- `mode`
- `var`
- `rvs`
- `entropy` (for Wishart only)

**Unit testing status**

In addition to dimensionality testing and testing the frozen against non-frozen output the unit tests current test the Wishart against the 1-dimensional special case of the chi-squared distribution and the inverse Wishart against the 1-dimensional special case of the inverse gamma distribution.

There are not many resources that I have found for multivariate testing (of e.g. pdf, mean, mode, etc.). I can test the PDF against the R package MCMCpack or probably PyMC, but I don't know of a source for testing the statistics or entropy.

I am not sure how to do unit tests for `rvs`. I can do Monte Carlo-esque checks, but to get even 2 digits of precision requires > 10,000 draws.