Let G be the graph corresponding to the graphical model of nearest neighbor interaction in a Gaussian character. We study Natural Exponential Families (NEF) of Wishart distributions on convex cones QG\documentclass[12pt]{minimal}
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\begin{document}$$P_G$$\end{document}, where PG\documentclass[12pt]{minimal}
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\begin{document}$$P_G$$\end{document} is the cone of tridiagonal positive definite real symmetric matrices, and QG\documentclass[12pt]{minimal}
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\begin{document}$$Q_G$$\end{document} is the dual cone of PG\documentclass[12pt]{minimal}
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\begin{document}$$P_G$$\end{document}. The Wishart NEF that we construct include Wishart distributions considered earlier for models based on decomposable(chordal) graphs. Our approach is, however, different and allows us to study the basic objects of Wishart NEF on the cones QG\documentclass[12pt]{minimal}
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\begin{document}$$P_G$$\end{document}. We determine Riesz measures generating Wishart exponential families on QG\documentclass[12pt]{minimal}
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\begin{document}$$P_G$$\end{document}, and we give the quadratic construction of these Riesz measures and exponential families. The mean, inverse-mean, covariance and variance functions, as well as moments of higher order, are studied and their explicit formulas are given.
