On the existence of non-central Wishart distributions

DOI10.1016/j.jmva.2012.07.010zbMath1354.60086arXiv1009.0473OpenAlexW1967864540MaRDI QIDQ1931882

Eberhard Mayerhofer

Publication date: 16 January 2013

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1009.0473

zbMATH Keywords

affine processesnon-central Wishart distributionWishart processesgindikin ensemble

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Characteristic functions; other transforms (60E10) Probability distributions: general theory (60E05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60)

Related Items (3)

The Explicit Laplace Transform for the Wishart Process ⋮ The Laplace transform \((\det s)^{-p} \exp \operatorname{tr}(s^{-1}w)\) and the existence of non-central Wishart distributions ⋮ A characterization of Wishart processes and Wishart distributions

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