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WISHART EXPONENTIAL FAMILIES AND VARIANCE FUNCTION ON HOMOGENEOUS CONES

Abstract : 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.
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https://hal.archives-ouvertes.fr/hal-01358024
Contributor : Piotr Graczyk <>
Submitted on : Tuesday, August 30, 2016 - 6:25:18 PM
Last modification on : Monday, March 9, 2020 - 6:16:03 PM

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  • HAL Id : hal-01358024, version 1

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Piotr Graczyk, Hideyuki Ishi, Bartosz Kolodziejek. WISHART EXPONENTIAL FAMILIES AND VARIANCE FUNCTION ON HOMOGENEOUS CONES. 2016. ⟨hal-01358024⟩

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