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A class of random matrices with infinitely divisible determinants

Author

Listed:
  • Maejima, Makoto
  • Pérez-Abreu, Víctor

Abstract

A class of random matrices whose determinants and some of their powers are infinitely divisible is provided. It includes the right-orthogonally invariant random matrices and mixtures of Wishart matrices.

Suggested Citation

  • Maejima, Makoto & Pérez-Abreu, Víctor, 2007. "A class of random matrices with infinitely divisible determinants," Statistics & Probability Letters, Elsevier, vol. 77(2), pages 166-168, January.
    • Handle: RePEc:eee:stapro:v:77:y:2007:i:2:p:166-168
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    References listed on IDEAS

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    1. Akita, Koji & Maejima, Makoto, 2002. "On certain self-decomposable self-similar processes with independent increments," Statistics & Probability Letters, Elsevier, vol. 59(1), pages 53-59, August.
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