Quadratic and inverse regressions for Wishart distributions.

DOI10.1214/AOS/1028144849MaRDI QIDQ1807094zbMATH OpenOpenAlexFDO

Authors Gérard Letac, Hélène Massam

Publication date 9 November 1999

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1028144849

zbMATH Keywords

Jordan algebrasconditional momentsWishart distributionsNatural exponential families

Mathematics Subject Classification ID

Linear inference, regression (62J99) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Jordan algebras (algebras, triples and pairs) (17C99)

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• A Characterization of the Gamma Distribution
• A Characterization of the Wishart Distribution
• A constant regression characterization of the gamma law
• An exact decomposition theorem and a unified view of some related distributions for a class of exponential transformation models on symmetric cones
• Characterizations of the Poisson process as a renewal process via two conditional moments
• On the Complex Wishart Distribution
• On transformations and determinants of Wishart variables on symmetric cones
• The Lukacs-Olkin-Rubin characterization of Wishart distributions on symmetric cones

Cited in

(25)

• Characterization of the Wishart Distribution on Homogeneous Cones in the Bobecka and Wesolowski Way
• Wishart-Laplace distributions associated with matrix quadratic forms
• An expectation formula for the multivariate Dirichlet distribution
• Characterization of Wishart-Laplace distributions via Jordan algebra homomorphisms
• On the Lukacs property for free random variables
• Why Jordan algebras are natural in statistics: quadratic regression implies Wishart distributions
• All Invariant Moments of the Wishart Distribution
• Meixner matrix ensembles
• Dual Lukacs regressions for non-commutative variables
• Wishart distributions on homogeneous cones
• The noncentral Wishart as an exponential family, and its moments
• Beta-Riesz distributions on symmetric cones
• Multivariate Matsumoto-Yor property is rather restrictive
• On Riesz and Wishart distributions associated with decomposable undirected graphs
• On a class of free Lévy laws related to a regression problem
• Characterization of the Dirichlet distribution on symmetric matrices
• Dirichlet partition on symmetric matrices
• On characterizations of the gamma and generalized inverse Gaussian distributions
• Multivariate Lukacs theorem
• Bessel convolutions on matrix cones: Algebraic properties and random walks
• The complex Wishart distribution and the symmetric group
• On the Gaussian representation of the Riesz probability distribution on symmetric matrices
• An independence property for the product of GIG and gamma laws
• Estimation and testing for lattice conditional independence models on Euclidean Jordan algebras
• Laplace transforms which are negative powers of quadratic polynomials

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