On Wishart and noncentral Wishart distributions on symmetric cones

DOI10.1090/TRAN/7754zbMATH Open1447.60042arXiv1709.08045OpenAlexW2792673308WikidataQ128874019 ScholiaQ128874019MaRDI QIDQ4633772FDOQ4633772

Authors: Eberhard Mayerhofer 

Publication date: 6 May 2019

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

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)).

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

Recommendations

• On the existence of non-central Wishart distributions
• The noncentral Wishart as an exponential family, and its moments
• 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
• The Lukacs-Olkin-Rubin characterization of Wishart distributions on symmetric cones

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)

Cites Work

• MOPS: multivariate orthogonal polynomials (symbolically)
• Some combinatorial properties of Jack symmetric functions
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Affine processes on symmetric cones
• Title not available (Why is that?)
• Affine processes on positive semidefinite matrices
• On transformations and determinants of Wishart variables on symmetric cones
• The Lukacs-Olkin-Rubin characterization of Wishart distributions on symmetric cones
• Selberg Integrals and Hypergeometric Functions Associated with Jack Polynomials
• 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
• 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

Cited In (12)

• Title not available (Why is that?)
• TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems
• The noncentral Wishart as an exponential family, and its moments
• 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
• Constrained dynamics, stochastic numerical methods and the modeling of complex systems. Abstracts from the workshop held May 26--31, 2024
• Preservers of totally positive kernels and Pólya frequency functions
• Polynomial traces and elementary symmetric functions in the latent roots of a non-central Wishart matrix

Uses Software

• MOPS

This page was built for publication: On Wishart and noncentral Wishart distributions on symmetric cones

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4633772)