Reforming the Wishart characteristic function
Probability
2019-01-29 v1
Abstract
The literature presents the characteristic function of the Wishart distribution on m times m matrices as an inverse power of the determinant of the Fourier variable, the exponent being the positive, real shape parameter. I demonstrate that only for two times two matrices, this expression is unambiguous -- in this case the complex range of the determinant excludes the negative real line. When m greater or equals 3 the range of the determinant contains closed lines around the origin, hence a single branch of the complex logarithm does not suffice to define the determinant's power. To resolve this issue, I give the correct analytic extension of the Laplace transform, by exploiting the Fourier-Laplace transform of a Wishart process.
Cite
@article{arxiv.1901.09347,
title = {Reforming the Wishart characteristic function},
author = {Eberhard Mayerhofer},
journal= {arXiv preprint arXiv:1901.09347},
year = {2019}
}