A characterization of the Riesz probability distribution

DOI10.1007/S10959-008-0142-1MaRDI QIDQ960175zbMATHOpenAlexFDO

Authors Abdelhamid Hassairi, Sallouha Lajmi, Raoudha Zine

Publication date 16 December 2008

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0706.0679

zbMATH Keywords

functional equationdivision algorithmRiesz distributionbeta-Riesz distributionwishart distribution

Mathematics Subject Classification ID

Probability distributions: general theory (60E05)

Abstract: Bobecka and Wesolowski (2002) have shown that, in the Olkin and Rubin characterization of the Wishart distribution (See Casalis and Letac (1996)), when we use the division algorithm defined by the quadratic representation and replace the property of invariance by the existence of twice differentiable densities, we still have a characterization of the Wishart distribution. In the present work, we show that, when we use the division algorithm defined by the Cholesky decomposition, we get a characterization of the Riesz distribution.

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Cites work

• A Characterization of the Gamma Distribution
• A Characterization of the Wishart Distribution
• Beta-Riesz distributions on symmetric cones
• Riesz exponential families on symmetric cones
• The Lukacs-Olkin-Rubin characterization of Wishart distributions on symmetric cones
• The Lukacs–Olkin–Rubin theorem without invariance of the ``quotient

Cited in

(11)

• Moment for the inverse Riesz distributions
• A note on the moments of the Riesz distribution
• Exponential and related probability distributions on symmetric matrices
• The Riesz probability distribution: Generation and EM algorithm
• Exponential probability distribution on symmetric matrices
• Multiplicative Cauchy functional equation on symmetric cones
• Maximum likelihood estimator of the scale parameter for the Riesz distribution
• Riesz Probability Distributions
• The extended matrix-variate beta probability distribution on symmetric matrices
• On Riesz distribution
• The Lukacs-Olkin-Rubin theorem on symmetric cones without invariance of the ``quotient

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