The Wishart Distributions on Homogeneous Cones

Riesz measures and Wishart laws associated to quadratic maps

We introduce a natural definition of Riesz measures and Wishart laws associated to an Ω-positive (virtual) quadratic map, where Ω ⊂ Rn is a regular open convex cone. We give a general formula for moments of the Wishart laws. Moreover, if the quadratic map has an equivariance property under the action of a linear group acting on the cone Ω transitively, then the associated Riesz measure and Wish...

On the General Wishart Distribution on Homogeneous Cones. by Steen Andersson

On Riesz and Wishart distributions associated with decomposable undirected graphs

Classical Wishart distributions on the open convex cones of positive definite matrices and their fundamental features are extended to generalized Riesz and Wishart distributions associated with decomposable undirected graphs using the basic theory of exponential families. The families of these distributions are parameterized by their expectations/natural parameter and multivariate shape paramet...

Bessel convolutions on matrix cones: Algebraic properties and random walks

Bessel-type convolution algebras of bounded Borel measures on the matrix cones of positive semidefinite q×q-matrices over R,C,H were introduced recently by Rösler. These convolutions depend on some continuous parameter, generate commutative hypergroup structures and have Bessel functions of matrix argument as characters. Here, we first study the rich algebraic structure of these hypergroups. In...

Positive Riesz distributions on homogeneous cones

Riesz distributions are relatively invariant distributions supported by the closure of a homogeneous cone . In this paper, we clarify the positivity condition of Riesz distributions by relating it to the orbit structure of . Moreover each of the positive Riesz distributions is described explicitly as a measure on an orbit in .