Maximal invariants for Lorentz-Wishart models

DOI10.1016/J.GEOMPHYS.2013.02.009MaRDI QIDQ387263zbMATH OpenOpenAlexFDO

Authors Emanuel Ben-David

Publication date 20 December 2013

Published in Journal of Geometry and Physics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1109.4699

zbMATH Keywords

Jordan algebrassymmetric conesLorentz conesWishart distributions

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Hypothesis testing in multivariate analysis (62H15)

Abstract: In this paper we consider two statistical hypotheses for the families of Wishart type distributions. These distributions are analogs of the Wishart distributions defined and parametrized over a Lorentz cone. We test these hypotheses by means of maximal invariant statistics which are explicitly derived in the paper. The testing problems, respectively, concern the hypothesis that parameters are in a sub-Lorentz-cone, and the the hypothesis that two observations have the same parameter.

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Cites work

• scientific article; zbMATH DE number 3886886 (Why is no real title available?)
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• All Invariant Moments of the Wishart Distribution
• Canonical variables and analysis on so\((n,2)\)
• Covariance hypothesis which are linear in both the covariance and the inverse covariance
• Distribution of eigenvalues in multivariate statistical analysis
• Some hypothesis tests for Wishart models on symmetric cones
• The Lukacs-Olkin-Rubin characterization of Wishart distributions on symmetric cones
• Wishart distributions on homogeneous cones

Cited in

(3)

• An exact decomposition for a class of exponential dispersion models: Application to sequential testing
• On Some One-Parameter Families Where Maximal Invariants Do Not Distinguish Hypothesized Models
• Some hypothesis tests for Wishart models on symmetric cones

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