Wishart laws and variance function on homogeneous cones
Statistics Theory
2020-12-16 v2 Statistics Theory
Abstract
We present a systematic study of Riesz measures and their natural exponential families of Wishart laws on a homogeneous cone. We compute explicitly the inverse of the mean map and the variance function of a Wishart exponential family.
Cite
@article{arxiv.1802.02352,
title = {Wishart laws and variance function on homogeneous cones},
author = {Piotr Graczyk and Hideyuki Ishi and Bartosz Kołodziejek},
journal= {arXiv preprint arXiv:1802.02352},
year = {2020}
}
Comments
24 pages, Probab. Math. Statist (2019)