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On Transformations and Determinants of Wishart Variables on Symmetric Cones

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  • Hélène Massam
  • Erhard Neher

Abstract

Let x and y be independent Wishart random variables on a simple Jordan algebra V. If c is a given idempotent of V, write $$x = x_1 + x_{12} + x_0 $$ for the decomposition of x in $$V(c,1) \oplus V(c,1/2) \oplus V(c,0)$$ where V(c,λ) equals the set of v such that cv=λv. In this paper we compute E(det(ax+by)) and some generalizations of it (Theorems 5 and 6). We give the joint distribution of (x 1, x 12, y 0) where $$y_0 = x_0 - P(x_{12} )x_1^{ - 1} $$ and P is the quadratic representation in V. In statistics, if x is a real positive definite matrix divided into the blocks x 11, x 12, x 21, x 22, then y 0 is equal to $$x_{22.1} = x_{22} - x_{21} x_{11}^{ - 1} x_{12} $$ . We also compute the joint distribution of the eigenvalues of x (Theorem 9). These results have been known only when V is the algebra of Hermitian matrices with entries in the real or the complex field. To obtain our results, we need to prove several new results on determinants in Jordan algebras. They include in particular extensions of some classical parts of linear algebra like Leibnitz's determinant formula (Proposition 2) or Schur's complement (Eqs. (3.3) and (3.6)).

Suggested Citation

  • Hélène Massam & Erhard Neher, 1997. "On Transformations and Determinants of Wishart Variables on Symmetric Cones," Journal of Theoretical Probability, Springer, vol. 10(4), pages 867-902, October.
  • Handle: RePEc:spr:jotpro:v:10:y:1997:i:4:d:10.1023_a:1022658415699
    DOI: 10.1023/A:1022658415699
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    References listed on IDEAS

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    1. Andersson, S. A. & Perlman, M. D., 1995. "Unbiasedness of the Likelihood Ratio Test for Lattice Conditional Independence Models," Journal of Multivariate Analysis, Elsevier, vol. 53(1), pages 1-17, April.
    2. M. Casalis & G. Letac, 1994. "Characterization of the Jorgensen set in generalized linear models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 3(1), pages 145-162, June.
    3. Krishnaiah, P. R., 1976. "Some recent developments on complex multivariate distributions," Journal of Multivariate Analysis, Elsevier, vol. 6(1), pages 1-30, March.
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    Cited by:

    1. A. Hassairi & S. Lajmi, 2004. "Classification of Riesz Exponential Families on a Symmetric Cone by Invariance Properties," Journal of Theoretical Probability, Springer, vol. 17(3), pages 521-539, July.
    2. Christa Cuchiero & Martin Keller-Ressel & Eberhard Mayerhofer & Josef Teichmann, 2016. "Affine Processes on Symmetric Cones," Journal of Theoretical Probability, Springer, vol. 29(2), pages 359-422, June.
    3. S. A. Andersson & G. G. Wojnar, 2004. "Wishart Distributions on Homogeneous Cones," Journal of Theoretical Probability, Springer, vol. 17(4), pages 781-818, October.
    4. Zmyślony Roman & Kozioł Arkadiusz, 2019. "Testing Hypotheses About Structure Of Parameters In Models With Block Compound Symmetric Covariance Structure," Statistics in Transition New Series, Statistics Poland, vol. 20(2), pages 139-153, June.

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