A characterization of the Wishart exponential families by an invariance property

automorphism homogeneous cones invertible matrices modification of linear exponential families natural exponential family real symmetric matrices Wishart distributions

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)

Review text

The natural exponential family (n.e.f.) is defined as a slight modification of linear exponential families [cf. \textit{O. Barndorff- Nielsen}: Information and exponential families in statistical theory. (1986; Zbl 0387.62011)]. The Wishart n.e.f. with parameter p is a set of probability distributions on \(\bar S\) defined by \[ (*)\quad F_ p=\{\exp [2^{-1}Tr(\Gamma x)](\det \Gamma)^ p\mu_ p(dx);\quad \Gamma \in S\} \] where \(E=space\) of \(d\times d\) real symmetric matrices; S and \(\bar S\) are subsets of E of positive definite and positive semi- definite matrices; b belongs to \(\Lambda\), \(\Lambda =\{i/2:\) \(i=1,2,...,d-1\}\cup (d-1,\infty)\); and \(\mu_ p\) is a suitable measure on \(\bar S.\) Let G be the subset of E of invertible matrices. For a in G define the automorphism \(g_ a\) of E by \(g_ a(x)=a'xa\) where \(a'=transpose\) of a. In Theorem 1, some known results are reproved to illustrate the interest in working with n.e.f. and without coordinates. The main result of the paper is Theorem 2: A n.e.f. F on E is invariant by \(g_ a\) for all a in G iff there exists a p in \(\Lambda\) such that either \(F=F_ p\) or F is the image of \(F_ p\) by \(x\mapsto -x\).

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