A class of random matrices with infinitely divisible determinants

Makoto Maejima and Víctor Pérez-Abreu

Statistics & Probability Letters, 2007, vol. 77, issue 2, 166-168

Abstract: 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.

Keywords: Wishart; distribution; Random; determinant; Orthogonally; invariant; matrix; distribution; Subordinator; Lévy; process (search for similar items in EconPapers)
Date: 2007
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