On Wishart and noncentral Wishart distributions on symmetric cones

DOI10.1090/TRAN/7754MaRDI QIDQ4633772zbMATH OpenOpenAlexWikidataFDO

Authors Eberhard Mayerhofer

Publication date 6 May 2019

Published in Transactions of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1709.08045

zbMATH Keywords

Wishart distributionJack polynomialssymmetric conesgeneralized binomial coefficients

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Permutations, words, matrices (05A05) Factorials, binomial coefficients, combinatorial functions (05A10) Probability measures on groups or semigroups, Fourier transforms, factorization (60B15) Connections of hypergeometric functions with groups and algebras, and related topics (33C80)

Abstract: Necessary conditions for the existence of non-central Wishart distributions are given. Our method relies on positivity properties of spherical polynomials on Euclidean Jordan Algebras and advances an approach by Peddada and Richards (1991), where only a special case (positive semidefinite matrices, rank one non-centrality parameter) is treated. Not only needs the shape parameters be in the Wallach set - as is the case for Riesz measures - but also the rank of the non-centrality parameter is constrained by the size of the shape parameter. This rank condition has been recently proved with different methods for the special case of symmetric, positive semidefinite matrices (Letac and Massam (2011) and Graczyk, Malecki and Mayerhofer (2016)).

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Cited in

(12)

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• A characterization of Wishart processes and Wishart distributions
• The rank of a normally distributed matrix and positive definiteness of a noncentral Wishart distributed matrix
• Infinite-dimensional Wishart processes
• On the existence of non-central Wishart distributions
• Geometric ergodicity of affine processes on cones
• The Laplace transform \((\det s)^{-p} \exp \operatorname{tr}(s^{-1}w)\) and the existence of non-central Wishart distributions
• Preservers of totally positive kernels and Pólya frequency functions
• Constrained dynamics, stochastic numerical methods and the modeling of complex systems. Abstracts from the workshop held May 26--31, 2024
• Polynomial traces and elementary symmetric functions in the latent roots of a non-central Wishart matrix

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