Association and infinite divisibility for the Wishart distribution and its diagonal marginals

DOI10.1016/0047-259X(91)90057-9MaRDI QIDQ2640281zbMATH OpenFDO

Authors Steven Neil Evans

Publication date 1991

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

Full work available at URL https://doi.org/10.1016/0047-259X(91)90057-9

zbMATH Keywords

additive semigroup of nonnegative definite matricesassociationcentral Wishart matrixcentral Wishart matrix with one degree of freedomGaussian vectorsinfinite divisibility

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Inequalities; stochastic orderings (60E15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Multivariate distribution of statistics (62H10) Measures of association (correlation, canonical correlation, etc.) (62H20)

Review text

Let S be a measurable space with a partial order. An S-valued random variable X is said to be associated if Cov[f(x),g(x)]\(\geq 0\) for every pair of bounded, measurable functions \(f,g: S\to R\) that are each increasing in the partial order. In the case \(S={\mathbb{R}}^ n\), \[ (x_ 1,...,x_ n)\leq (y_ 1,...,y_ n):\Leftrightarrow \quad x_ i\leq y_ i,\quad 1\leq i\leq n. \] If S is the additive semigroup of nonnegative definite matrices then \[ A\leq B:\Leftrightarrow \quad B-A\in S,\quad A,B\in S. \] The author gives an example of a central Wishart matrix W with one degree of freedom and scale matrix of rank 2 such that the diagonal entries of W are not associated. This allows him to conclude that no central Wishart matrix with one degree of freedom and scale matrix of rank 1 is associated. Employing the connection between association and infinite divisibility he shows that there exist Gaussian vectors such that the vector of squares is not infinitely divisible and obtains another proof of Lévy's result that no central Wishart matrix with scale matrix of rank greater than 1 is infinitely divisible.

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Cites work

• Association and random measures
• Association of probability measures on partially ordered spaces
• Association of Random Variables, with Applications
• Bessel diffusions as a one-parameter family of diffusion processes
• scientific article; zbMATH DE number 3973970 (Why is no real title available?)
• scientific article; zbMATH DE number 3297722 (Why is no real title available?)
• scientific article; zbMATH DE number 3047751 (Why is no real title available?)
• On the structure of the Wishart distribution
• Positively correlated normal variables are associated
• Some Concepts of Dependence
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Cited in

(8)

• The diagonal multivariate natural exponential families and their classification
• Association of infinitely divisible random vectors
• Erratum to: ``Characterization of positively correlated squared Gaussian processes
• On infinite divisibility of a class of two-dimensional vectors in the second Wiener chaos
• Characterization of positively correlated squared Gaussian processes
• A characterization of the infinitely divisible squared Gaussian processes
• scientific article; zbMATH DE number 4137193 (Why is no real title available?)
• On positive association of absolute-valued and squared multivariate gaussians beyond \(\mathrm{MTP}_2\)

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