A characterization of the Wishart exponential families by an invariance property

DOI10.1007/BF01048270zbMath0672.62061OpenAlexW2148972241MaRDI QIDQ1120225

Gérard Letac

Publication date: 1989

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01048270

zbMATH Keywords

automorphisminvertible matricesnatural exponential familyreal symmetric matriceshomogeneous conesWishart distributionsmodification of linear exponential families

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Foundations and philosophical topics in statistics (62A01) Probability distributions: general theory (60E05)

Related Items (14)

The diagonal multivariate natural exponential families and their classification ⋮ Characterization of the Jørgensen set in generalized linear models ⋮ On the determinant of the second derivative of a Laplace transform ⋮ Conditional natural exponential families ⋮ Exponential and Bayesian conjugate families: Review and extensions. (With discussion) ⋮ Moment for the inverse Riesz distributions ⋮ Wishart laws and variance function on homogeneous cones ⋮ Characteristic property of a class of multivariate variance functions ⋮ Wishart processes ⋮ Extension of the variance function of a steep exponential family ⋮ The mean radius of curvature of an exponential family ⋮ The Lukacs-Olkin-Rubin characterization of Wishart distributions on symmetric cones ⋮ Characterization of the Riesz exponential family on homogeneous cones ⋮ Enriched standard conjugate priors and the right invariant prior for Wishart distributions

Cites Work

• The geometry of exponential families
• Natural exponential families with quadratic variance functions
• Invariant generalized functions in homogeneous domains
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