A class of random matrices with infinitely divisible determinants

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.

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Year of publication:	2007
Authors:	Maejima, Makoto ; Pérez-Abreu, Víctor
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 77.2007, 2, p. 166-168
Publisher:	Elsevier
Keywords:	Wishart distribution Random determinant Orthogonally invariant matrix distribution Subordinator Lévy process

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005254198