Open AccessThe Wishart distributions on homogeneous cones
Author(s) -
Steen A. Andersson,
Gregory Gerard Wojnar
Publication year - 2004
Publication title -
acta et commentationes universitatis tartuensis de mathematica./acta et commentationes universitatis tartuensis de mathematica
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.276
H-Index - 6
eISSN - 2228-4699
pISSN - 1406-2283
DOI - 10.12697/acutm.2004.08.01
Subject(s) - wishart distribution , exponential family , homogeneous , mathematics , inverse wishart distribution , pure mathematics , statistics , combinatorics , multivariate statistics
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 a homogeneous cone using the theory of exponential families. The generalized Wishart distributions include all known families of Wishart distributions as special cases. The relations to graphical models and Bayesian statistics are indicated.