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Preprints, Working Papers, ... Year : 2016

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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Dates and versions

hal-01358024 , version 1 (30-08-2016)

Identifiers

  • HAL Id : hal-01358024 , version 1

Cite

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