The central limit theorem on spaces of positive definite matrices

Donald St. P. Richards

Journal of Multivariate Analysis, 1989, vol. 29, issue 2, 326-332

Abstract: 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).

Keywords: spherical; functions; central; limit; theorem; symmetric; spaces; Helgason-Fourier; transform; heat; equation; orthogonal; group; zonal; polynomials (search for similar items in EconPapers)
Date: 1989
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Citations: View citations in EconPapers (2)

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