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Exponential probability distribution on symmetric matrices

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  • Hassairi, A.
  • Roula, A.

Abstract

In this paper, we define in the most natural way a multivariate extension of the exponential distribution as a particular Wishart on the cone of positive definite symmetric matrices. We also introduce a notion of reliability function for a matrix random variable. We then show that, under a condition of invariance, the exponential distribution on symmetric matrices is characterized by a property of memoryless generalizing and including the characterization established for the real exponential distribution.

Suggested Citation

  • Hassairi, A. & Roula, A., 2019. "Exponential probability distribution on symmetric matrices," Statistics & Probability Letters, Elsevier, vol. 145(C), pages 37-42.
    • Handle: RePEc:eee:stapro:v:145:y:2019:i:c:p:37-42
    DOI: 10.1016/j.spl.2018.08.013
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    References listed on IDEAS

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    1. Hassairi, A. & Regaig, O., 2009. "Characterizations of the beta distribution on symmetric matrices," Journal of Multivariate Analysis, Elsevier, vol. 100(8), pages 1682-1690, September.
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    Cited by:

    1. Hassairi, Abdelhamid & Roula, Amel, 2022. "Exponential and related probability distributions on symmetric matrices," Statistics & Probability Letters, Elsevier, vol. 187(C).

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