Permanental vectors

DOI10.1016/J.SPA.2012.01.009zbMATH Open1255.60027arXiv1107.1144OpenAlexW4205178448MaRDI QIDQ424468FDOQ424468

Authors: Hana Kogan, Michael B. Marcus 

Publication date: 1 June 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: A permanental vector is a generalization of a vector with components that are squares of the components of a Gaussian vector, in the sense that the matrix that appears in the Laplace transform of the vector of Gaussian squares is not required to be either symmetric or positive definite. In addition the power of the determinant in the Laplace transform of the vector of Gaussian squares, which is -1/2, is allowed to be any number less than zero. It was not at all clear what vectors are permanental vectors. In this paper we characterize all permanental vectors in $R_{+}^3$ and give applications to permanental vectors in $R_{+}^n$ and to the study of permanental processes.

Full work available at URL: https://arxiv.org/abs/1107.1144

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zbMATH Keywords

M-matricesGaussian squaresinfinitely divisible vectorspermanental vectors

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Characteristic functions; other transforms (60E10) Markov processes (60J99) Stochastic processes (60G99)

Cites Work

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• Characterization of infinitely divisible multivariate gamma distributions

Cited In (5)

• Decompositions of infinitely divisible nonnegative processes
• Permanental vectors and selfdecomposability
• Sample path properties of permanental processes
• Permanental vectors with nonsymmetric kernels
• Inequalities for permanental processes

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