Beta-Riesz distributions on symmetric cones

The Riesz distributions on a symmetric cone are used to introduce a class of beta-Riesz distributions. Some fundamental properties of these distributions are established. In particular, we study the effect of a projection on a beta-Riesz distribution and we give some properties of independence. We also calculate the expectation of a beta-Riesz random variable. As a corollary, we give the regression on the mean of a Riesz random variable; that is, we determine the conditional expectation E(U broken vertical bar U + V) where U and V are two independent Riesz random variables. (c) 2004 Elsevier B.V. All rights reserved.