Ergodic Decomposition for Inverse Wishart Measures on Infinite Positive-Definite Matrices
Mathematical Physics
2019-09-12 v3 Dynamical Systems
math.MP
Probability
Abstract
The ergodic unitarily invariant measures on the space of infinite Hermitian matrices have been classified by Pickrell and Olshanski-Vershik. The much-studied complex inverse Wishart measures form a projective family, thus giving rise to a unitarily invariant measure on infinite positive-definite matrices. In this paper we completely solve the corresponding problem of ergodic decomposition for this measure.
Keywords
Cite
@article{arxiv.1901.03117,
title = {Ergodic Decomposition for Inverse Wishart Measures on Infinite Positive-Definite Matrices},
author = {Theodoros Assiotis},
journal= {arXiv preprint arXiv:1901.03117},
year = {2019}
}