On Wishart and noncentral Wishart distributions on symmetric cones

DOI10.1090/tran/7754zbMath1447.60042arXiv1709.08045OpenAlexW2792673308WikidataQ128874019 ScholiaQ128874019MaRDI QIDQ4633772

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 distributionsymmetric conesJack polynomialsgeneralized binomial coefficients

Mathematics Subject Classification ID

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

Related Items (4)

Preservers of totally positive kernels and Pólya frequency functions ⋮ Geometric ergodicity of affine processes on cones ⋮ Polynomial traces and elementary symmetric functions in the latent roots of a non-central Wishart matrix ⋮ TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems

Uses Software

• MOPS

Cites Work

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• Affine processes on symmetric cones
• Affine processes on positive semidefinite matrices
• Proof of a conjecture of M.L. Eaton on the characteristic function of the Wishart distribution
• Invariant generalized functions in homogeneous domains
• Characterization of the Jørgensen set in generalized linear models
• On transformations and determinants of Wishart variables on symmetric cones
• The Laplace transform \((\det s)^{-p} \exp \operatorname{tr}(s^{-1}w)\) and the existence of non-central Wishart distributions
• A characterization of Wishart processes and Wishart distributions
• Some combinatorial properties of Jack symmetric functions
• The Lukacs-Olkin-Rubin characterization of Wishart distributions on symmetric cones
• MOPS: multivariate orthogonal polynomials (symbolically)
• Selberg Integrals and Hypergeometric Functions Associated with Jack Polynomials

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