A characterization of the Wishart exponential families by an invariance property

DOI10.1007/BF01048270zbMATH Open0672.62061OpenAlexW2148972241MaRDI QIDQ1120225FDOQ1120225

Authors: 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

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zbMATH Keywords

automorphismhomogeneous conesnatural exponential familyWishart distributionsinvertible matricesreal symmetric matricesmodification of linear exponential families

Mathematics Subject Classification ID

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

Cites Work

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• Invariant generalized functions in homogeneous domains
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Cited In (18)

• Enriched standard conjugate priors and the right invariant prior for Wishart distributions
• Renewal of shift families by the distribution of the maximal invariant distribution
• Wishart laws and variance function on homogeneous cones
• Conditional natural exponential families
• Classification of Riesz exponential families on a symmetric cone by invariance properties
• Wishart processes
• Characterization of the Riesz exponential family on homogeneous cones
• The diagonal multivariate natural exponential families and their classification
• On the determinant of the second derivative of a Laplace transform
• Title not available (Why is that?)
• Moment for the inverse Riesz distributions
• Characteristic property of a class of multivariate variance functions
• The Lukacs-Olkin-Rubin characterization of Wishart distributions on symmetric cones
• Exponential and Bayesian conjugate families: Review and extensions. (With discussion)
• Extension of the variance function of a steep exponential family
• Characterization of the Jørgensen set in generalized linear models
• The mean radius of curvature of an exponential family
• Transformations preserving normality and Wishart-ness

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