English

Why Jordan algebras are natural in statistics:quadratic regression implies Wishart distributions

Statistics Theory 2016-08-14 v1 Statistics Theory

Abstract

If the space Q\mathcal{Q} of quadratic forms in Rn\mathbb{R}^n is splitted in a direct sum Q1...Qk\mathcal{Q}_1\oplus...\oplus \mathcal{Q}_k and if XX and YY are independent random variables of Rn\mathbb{R}^n, assume that there exist a real number aa such that E(XX+Y)=a(X+Y)E(X|X+Y)=a(X+Y) and real distinct numbers b1,...,bkb_1,...,b_k such that E(q(X)X+Y)=biq(X+Y)E(q(X)|X+Y)=b_iq(X+Y) for any qq in Qi.\mathcal{Q}_i. We prove that this happens only when k=2k=2, when Rn\mathbb{R}^n can be structured in a Euclidean Jordan algebra and when XX and YY have Wishart distributions corresponding to this structure.

Keywords

Cite

@article{arxiv.1004.3148,
  title  = {Why Jordan algebras are natural in statistics:quadratic regression implies Wishart distributions},
  author = {Gerard Letac and Jacek Wesołowski},
  journal= {arXiv preprint arXiv:1004.3148},
  year   = {2016}
}

Comments

11 pages