Characterization of Wishart-Laplace distributions via Jordan algebra homomorphisms |
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Authors: | Joe Masaro |
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Affiliation: | a 961 Marentette Ave., Windsor, Ontario, Canada N9A 2A2 b University of Windsor, Windsor, Ontario, Canada N9B 3P4 |
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Abstract: | For a real, Hermitian, or quaternion normal random matrix Y with mean zero, necessary and sufficient conditions for a quadratic form Q(Y) to have a Wishart-Laplace distribution (the distribution of the difference of two independent central Wishart Wp(mi,Σ) random matrices) are given in terms of a certain Jordan algebra homomorphism ρ. Further, it is shown that {Qk(Y)} is independent Laplace-Wishart if and only if in addition to the aforementioned conditions, the images ρk(Σ+) of the Moore-Penrose inverse Σ+ of Σ are mutually orthogonal: ρk(Σ+)ρ?(Σ+)=0 for k≠?. |
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Keywords: | Primary: 62H05 Secondary: 62H10 |
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