The inverse Riesz probability distribution on symmetric matrices

DOI10.1016/J.JMVA.2012.05.013MaRDI QIDQ444968zbMATH OpenOpenAlexFDO

Authors Mariem Tounsi, Raoudha Zine

Publication date 24 August 2012

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

Full work available at URL https://doi.org/10.1016/j.jmva.2012.05.013

zbMATH Keywords

Wishart distributionRiesz distributiongeneralized inverse Gaussian distributioninverse Wishart distributionRiesz inverse Gaussian distribution

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Random matrices (probabilistic aspects) (60B20) Characterization and structure theory of statistical distributions (62E10)

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Cites work

• scientific article; zbMATH DE number 715155 (Why is no real title available?)
• Duality between matrix variate \(t\) and matrix variate V.G. distributions
• Enriched conjugate and reference priors for the Wishart family on symmetric cones
• Infinite divisibility of the hyperbolic and generalized inverse Gaussian distributions
• Riesz exponential families on symmetric cones
• Riesz inverse Gaussian distributions
• The Matsumoto\,-\,Yor property and the structure of the Wishart distribution
• Wishart distributions for decomposable graphs

Cited in

(16)

• On the Dirichlet distributions on symmetric matrices
• Invertibility of symmetric random matrices
• Riesz distributions.
• Mixture of the Riesz distribution with respect to a multivariate Poisson
• On the matrix-variate beta distribution
• Maximum likelihood estimator of the scale parameter for the Riesz distribution
• Moment for the inverse Riesz distributions
• A Kotz-Riesz-type distribution
• Some new properties of the Riesz probability distribution
• The Riesz probability distribution: Generation and EM algorithm
• On the Gaussian representation of the Riesz probability distribution on symmetric matrices
• The extended matrix-variate beta probability distribution on symmetric matrices
• Riesz inverse Gaussian distributions
• Wilks' factorization of the matrix-variate Dirichlet-Riesz distributions
• Modeling realized covariance measures with heterogeneous liquidity: a generalized matrix-variate Wishart state-space model
• Exponential and related probability distributions on symmetric matrices

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Uses Software

• BayesDA

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