Wishart distributions on homogeneous cones

被引：23
|
作者：
Andersson, SA [1 ]
Wojnar, GG
机构：
[1] Indiana Univ, Dept Math, Bloomington, IN 47405 USA
[2] Frostburg State Univ, Dept Math, Frostburg, MD 21532 USA
来源：
JOURNAL OF THEORETICAL PROBABILITY | 2004年 / 17卷 / 04期
基金：
美国国家科学基金会;
关键词：
Wishart distributions; homogeneous cones; Vinberg algebras; exponential familes; posets; matrices with zeroes; normal graphical models;
D O I：
10.1007/s10959-004-0576-z
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
The classical family of Wishart distributions on a cone of positive definite matrices and its fundamental features are extended to a family of generalized Wishart distributions on it homogeneous cone using the theory of exponential families. The generalized Wishart distributions include all known families of Wishart distributions as special cases. The relationships to graphical models and Bayesian statistics are indicated.
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页码：781 / 818
页数：38
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