Related papers: On Elliptical and Inverse Elliptical Wishart distr…

Elliptically contoured distributions can be considered to be the distributions for which the contours of the density functions are proportional ellipsoids. We generalize elliptically contoured densities to ``star-shaped distributions'' with…

We give an approximate formula for the distribution of the largest eigenvalue of real Wishart matrices by the expected Euler characteristic method for the general dimension. The formula is expressed in terms of a definite integral with…

In this paper, we propose a discrete circular distribution obtained by extending the wrapped Poisson distribution. This new distribution, the Invariant Wrapped Poisson (IWP), enjoys numerous advantages: simple tractable density,…

We consider the scattering by a one-dimensional random potential and derive the probability distribution of the corresponding Wigner time delay. It is shown that the limiting distribution is the same for two different models and coincides…

Several matrix variate hypergeometric type distributions are derived. The compound distributions of left-spherical matrix variate elliptical distributions and inverted hypergeometric type distributions with matrix arguments are then…

Skew-elliptical distributions constitute a large class of multivariate distributions that account for both skewness and a variety of tail properties. This class has simpler representations in terms of densities rather than cumulative…

We consider random matrices that have invariance properties under the action of unitary groups (either a left-right invariance, or a conjugacy invariance), and we give formulas for moments in terms of functions of eigenvalues. Our main tool…

Context: Statistical properties of the cosmic density fields are to a large extent encoded in the shape of the one-point density probability distribution functions (PDF). In order to successfully exploit such observables, a detailed…

A large class of modern probabilistic learning systems assumes symmetric distributions, however, real-world data tend to obey skewed distributions and are thus not always adequately modelled through symmetric distributions. To address this…

We consider a family of multivariate distributions with heavy-tailed margins and the type I elliptical dependence structure. This class of risks is common in finance, insurance, environmental and biostatistic applications. We obtain the…

This paper is concerned with an inverse scattering problem for the time-harmonic elastic wave equation with a random potential. Interpreted as a distribution, the potential is assumed to be a microlocally isotropic generalized Gaussian…

In this paper, we propose a new distribution with unitary support which can be characterized as a ratio of the type $W=X_1/(X_1+X_2)$, where $(X_1, X_2)^\top$ follows a bivariate extreme distribution with Fr\'echet margins, that is, $X_1$…

This paper focuses on investigating Stein's invariant shrinkage estimators for large sample covariance matrices and precision matrices in high-dimensional settings. We consider models that have nearly arbitrary population covariance…

We introduce a distributionally robust maximum likelihood estimation model with a Wasserstein ambiguity set to infer the inverse covariance matrix of a $p$-dimensional Gaussian random vector from $n$ independent samples. The proposed model…

We investigate the asymptotic behavior of the empirical eigenvalues distribution of the partial transpose of a random quantum state. The limiting distribution was previously investigated via Wishart random matrices indirectly (by…

We define and study a family of distributions with domain complete Riemannian manifold. They are obtained by projection onto a fixed tangent space via the inverse exponential map. This construction is a popular choice in the literature for…

Let $\mathbf{W}$ be a correlated complex non-central Wishart matrix defined through $\mathbf{W}=\mathbf{X}^H\mathbf{X}$, where $\mathbf{X}$ is $n\times m \, (n\geq m)$ complex Gaussian with non-zero mean $\boldsymbol{\Upsilon}$ and…

A new family of multivariate distributions, which shall be termed multivector variate distributions, based in the family of the multivariate contoured elliptically distribution is proposed. Several particular cases of multivector variate…

We study the behavior of a real $p$-dimensional Wishart random matrix with $n$ degrees of freedom when $n,p\rightarrow\infty$ but $p/n\rightarrow 0$. We establish the existence of phase transitions when $p$ grows at the order…

This paper is devoted to a fractional generalization of the Dirichlet distribution. The form of the multivariate distribution is derived assuming that the $n$ partitions of the interval $[0,W_n]$ are independent and identically distributed…