Some new properties of the Riesz probability distribution

The Riesz probability distribution on any symmetric cone and, in particular, on the cone of positive definite symmetric matrices represents an important generalization of the Wishart and of the matrix gamma distributions containing them as particular examples. The present paper is a continuation of the investigation of the properties of this probability distribution. We first establish a property of invariance of this probability distributions by a subgroup of the orthogonal group. We then show that the Pierce components of a Riesz random variable are independent, and we determine their probability distributions. Some moments and some useful expectations related to the Riesz probability distribution are also calculated. Copyright © 2017 John Wiley & Sons, Ltd.     

A Characterization of the Riesz Probability Distribution

Bobecka and Wesolowski (Studia Math. 152:147–160, [2002]) have shown that, in the Olkin and Rubin characterization of the Wishart distribution (see Casalis and Letac in Ann. Stat. 24:763–786, [1996]), when we use the division algorithm defined by the quadratic representation and replace the property of invariance by the existence of twice differentiable densities, we still have a characterization of the Wishart distribution. In the present work, we show that when we use the division algorithm defined by the Cholesky decomposition, we get a characterization of the Riesz distribution.     

On the coerciveness of some merit functions for complementarity problems over symmetric cones

One of the popular solution methods for the complementarity problem over symmetric cones is to reformulate it as the global minimization of a certain merit function. An important question to be answered for this class of methods is under what conditions the level sets of the merit function are bounded (the coerciveness of the merit function). In this paper, we introduce the generalized weak-coerciveness of a continuous transformation. Under this condition, we prove the coerciveness of some merit functions, such as the natural residual function, the normal map, and the Fukushima-Yamashita function for complementarity problems over symmetric cones. We note that this is a much milder condition than strong monotonicity, used in the current literature.     

Random continued fractions and inverse Gaussian distribution on a symmetric cone

In this paper we introduce the inverse Gaussian and Wishart distributions on the cone of real (n, n) symmetric positive definite matricesH _n ⁺ () and more generally on an irreducible symmetric coneC. Then we study the convergence of random continued fractions onH _n ⁺ () andC by means of real Lagrangians forH _n ⁺ () and by new algebraic identities on symmetric cones forC. Finally we get a characterization of the inverse Gaussian distribution onH _n ⁺ () andC.     

Characterizations of the beta distribution on symmetric matrices

This paper extends to the beta-Wishart distribution on symmetric matrices, two characterizations of the beta distributions on , due to Seshadri and Wesolowski and based on some properties of constancy regression.     

Craig-Sakamoto's theorem for the Wishart distributions on symmetric cones

A version of Craig-Sakamoto's theorem says essentially that ifX is aN(O,I _n ) Gaussian random variable in ⁿ, and ifA andB are (n, n) symmetric matrices, thenXAX andXBX (or traces ofAXX andBXX) are independent random variables if and only ifAB=0. As observed in 1951, by Ogasawara and Takahashi, this result can be extended to the case whereXX is replaced by a Wishart random variable. Many properties of the ordinary Wishart distributions have recently been extended to the Wishart distributions on the symmetric cone generated by a Euclidean Jordan algebraE. Similarly, we generalize there the version of Craig's theorem given by Ogasawara and Takahashi. We prove that ifa andb are inE and ifW is Wishart distributed, then Tracea.W and Traceb.W are independent if and only ifa.b=0 anda.(b.x)=b.(a.x) for allx inE, where the. indicates Jordan product.Partially supported by NATO grant 92.13.47.     

On general perturbations of symmetric Markov processes

Let X be a symmetric right process, and let be a multiplicative functional of X that is the product of a Girsanov transform, a Girsanov transform under time-reversal and a continuous Feynman–Kac transform. In this paper we derive necessary and sufficient conditions for the strong L²-continuity of the semigroup given by T_tf(x)=E_x[Z_tf(X_t)], expressed in terms of the quadratic form obtained by perturbing the Dirichlet form of X in the appropriate way. The transformations induced by such Z include all those treated previously in the literature, such as Girsanov transforms, continuous and discontinuous Feynman–Kac transforms, and generalized Feynman–Kac transforms.     

Transience of symmetric nonlocal Dirichlet forms

We establish transience criteria for symmetric nonlocal Dirichlet forms on $L^2({\mathbb{R}}^d;\mathrm{d}x)$ in terms of the coefficient growth rates at infinity. Applying these criteria, we find a necessary and sufficient condition for recurrence of Dirichlet forms of symmetric stable-like with unbounded/degenerate coefficients. This condition indicates that both of the coefficient growth rates of small and big jump parts affect the sample path properties of the associated symmetric jump processes.     

Dirichlet invariant processes and applications to nonparametric estimation of symmetric distribution functions

A class of random processes with invariant sample paths, that is, processes which yield (with probability one) probability distributions that are invariant under a given transformation group of interest, are introduced and their properties are studied. These processes, named Dirichlet Invariant processes, are closely related to the Dirichlet processes of Ferguson. These processes can be used as priors for Bayesian analysis of some nonparametric problems. As an application Bayes and Minimax estimates of an arbitrary distribution, symmetric about a known point, are obtained.     

An inequality for multiple convolutions with respect to Dirichlet probability measure

A sharp multiple convolution inequality with respect to Dirichlet probability measure on the standard simplex is presented. Its discrete version in terms of the negative binomial coefficients is proved as well. The new bounds for the Dirichlet distribution and iterated convolutions are obtained as the consequences of the main result. Also some binomial, exponential, and generalized hypergeometric applications are discussed.     

Generalized binomial expansion on Lorentz cones

We study some properties of generalized binomial coefficients for symmetric cones and we obtain a generalized binomial expansion formula for Lorentz cones.     

On singular matrix variate beta distribution

1.IntrodnctionThispaperextendsthestudyofthesingularmatrixvariatebetadistributionofrank1[1]tothecaseofageneralrank.Astherelateddistributiontonormalsampling,thematrixvariatebetadistribution(alsocalledthemultivariatebetadistribution)hasbeenstudiedextens...     

On Dirichlet Series with Periodic Coefficients

We investigate Dirichlet series L(s, f) = _n=1 with q-periodic coefficients f(n), i.e. f(n+q) = f(n) for all integers n and some fixed integer q, and we prove an asymptotic formula for the number of nontrivial zeros of L(s, f). Further, we give a necessary condition for L(s, f) to have a distribution of the nontrivial zeros symmetrical with respect to the critical line.     

On the structure of the Wishart distribution

In this paper it is shown that every nonnegative definite symmetric random matrix with independent diagonal elements and at least one nondegenerate nondiagonal element has a noninfinitely divisible distribution. Using this result it is established that every Wishart distribution W_p(k, Σ, M) with both p and rank (Σ) ≥ 2 is noninfinitely divisible. The paper also establishes that any Wishart matrix having distribution W_p(k, Σ, 0) has the joint distribution of its elements in the rth row and rth column to be infinitely divisible for every r = 1,2,…,p.     

On the symmetric hyperspace of the circle

By X(n), n?1, we denote the n-th symmetric hyperspace of a metric space X as the space of non-empty finite subsets of X with at most n elements endowed with the Hausdorff metric. In this paper we shall describe the n-th symmetric hyperspace S¹(n) as a compactification of an open cone over ΣDn−2, here Dn−2 is the higher-dimensional dunce hat introduced by Andersen, Marjanovi? and Schori (1993) [2] if n is even, and Dn−2 has the homotopy type of Sn−2 if n is odd (see Andersen et al. (1993) [2]). Then we can determine the homotopy type of S¹(n) and detect several topological properties of S¹(n).     

On a conjecture on the symmetric means

In this paper, we study some inequalities involving the symmetric means. The main result is a proof of a conjecture of Alzer et al.     

Stationary point conditions for the FB merit function associated with symmetric cones

For the symmetric cone complementarity problem, we show that each stationary point of the unconstrained minimization reformulation based on the Fischer-Burmeister merit function is a solution to the problem, provided that the gradient operators of the mappings involved in the problem satisfy column monotonicity or have the Cartesian P₀-property. These results answer the open question proposed in the article that appeared in Journal of Mathematical Analysis and Applications 355 (2009) 195-215.     

Complementarity properties of the Lyapunov transformation over symmetric cones

The well-known Lyapunov's theorem in matrix theory/continuous dynamical systems asserts that a square matrix A is positive stable if and only if there exists a positive definite matrix X such that AX +XA* is positive definite. In this paper, we extend this theorem to the setting of any Euclidean Jordan algebra V . Given any element a ∈ V , we consider the corresponding Lyapunov transformation La and show that the P and S-properties are both equivalent to a being positive. Then we characterize the R0 -property for La and show that La has the R0 -property if and only if a is invertible. Finally, we provide La with some characterizations of the E0 -property and the nondegeneracy property.     

On the asymptotic independence of Dirichlet series

The joint limit distribution of functions given by Dirichlet series is studied. The necessary and sufficient condition when this distribution is a product of marginal distributions is found. An example of such Dirichlet series with linear independent systems of exponents is presented. Partially supported by the Lithuanian State Science and Studies Foundation. Vilnius University, Naugarduko 24, 2006 Vilnius; Šiauliai University, P. Višinskio 25, 5419 Šiauliai, Lithuania. Translated from Lietuvos Matematikos Rinkinys, Vol. 39, No. 1, pp. 65–73, January–March, 1999. Translated by A. Laurinčikas