Maximal invariants for Lorentz-Wishart models

DOI10.1016/J.GEOMPHYS.2013.02.009zbMATH Open1277.62147arXiv1109.4699OpenAlexW1968698671MaRDI QIDQ387263FDOQ387263

Emanuel Ben-David

Publication date: 20 December 2013

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

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.

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

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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)

Cites Work

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• Distribution of eigenvalues in multivariate statistical analysis
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• The Lukacs-Olkin-Rubin characterization of Wishart distributions on symmetric cones
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Cited In (2)

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

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