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arXiv · 1709.08045

On Wishart and non-central Wishart distributions on symmetric cones

Eberhard Mayerhofer
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Abstract

Necessary conditions for the existence of non-central Wishart distributions are given. Our method relies on positivity properties of spherical polynomials on Euclidean Jordan Algebras and advances an approach by Peddada and Richards (1991), where only a special case (positive semidefinite matrices, rank one non-centrality parameter) is treated. Not only needs the shape parameters be in the Wallach set - as is the case for Riesz measures - but also the rank of the non-centrality parameter is constrained by the size of the shape parameter. This rank condition has been recently proved with different methods for the special case of symmetric, positive semidefinite matrices (Letac and Massam (2011) and Graczyk, Malecki and Mayerhofer (2016)).

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Eberhard Mayerhofer. 2017-09-23. On Wishart and non-central Wishart distributions on symmetric cones. https://arxiv.org/abs/1709.08045

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