The inverse Riesz probability distribution on symmetric matrices

Mariem Tounsi and Raoudha Zine

Journal of Multivariate Analysis, 2012, vol. 111, issue C, 174-182

Abstract: The Riesz distributions on positive definite symmetric matrices are used to introduce a class of inverse Riesz distributions. Some fundamental properties of these new distributions are established. We prove a property of independence between blocks of an inverse Riesz matrix, and we show that some projections of these distributions are also inverse Riesz. We also show the relationship between these distributions with the Riesz inverse Gaussian distributions introduced by Hassairi et al. (2007) [7].

Keywords: Wishart distribution; Riesz distribution; Inverse Wishart distribution; Generalized inverse Gaussian distribution; Riesz inverse Gaussian distribution (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (7)

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DOI: 10.1016/j.jmva.2012.05.013

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