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arXiv · 1901.03117

Ergodic Decomposition for Inverse Wishart Measures on Infinite Positive-Definite Matrices

Theodoros Assiotis
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Abstract

The ergodic unitarily invariant measures on the space of infinite Hermitian matrices have been classified by Pickrell and Olshanski-Vershik. The much-studied complex inverse Wishart measures form a projective family, thus giving rise to a unitarily invariant measure on infinite positive-definite matrices. In this paper we completely solve the corresponding problem of ergodic decomposition for this measure.

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Theodoros Assiotis. 2019-01-10. Ergodic Decomposition for Inverse Wishart Measures on Infinite Positive-Definite Matrices. https://doi.org/10.3842/sigma.2019.067

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