The central limit theorem on spaces of positive definite matrices

A central limit theorem is obtained for orthogonally invariant random variables on n, the space of n - n real, positive definite symmetric matrices. The derivation requires the Taylor expansion of the spherical functions for the general linear group GL(n, R). This extends from the case n = 3 a result of Terras (J. Multivariate Anal. 23 (1987), 13-36).

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Year of publication:	1989
Authors:	Richards, Donald St. P.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 29.1989, 2, p. 326-332
Publisher:	Elsevier
Keywords:	spherical functions central limit theorem symmetric spaces Helgason-Fourier transform heat equation orthogonal group zonal polynomials

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

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