Wishart laws and variance function on homogeneous cones

Autor

DOI:

https://doi.org/10.19195/0208-4147.39.2.6

Abstrakt

We present a systematic study of Riesz measures and their natural exponential families of Wishart laws on a homogeneous cone. We compute explicitly the inverse of the mean map and the variance function of a Wishart exponential family.

Pobrania

Opublikowane

2019-12-19

Numer

Dział

Artykuły [1035]