An Exact Decomposition Theorem and a Unified View of Some Related Distributions for a Class of Exponential Transformation Models on Symmetric Cones
Massam, Helene
Ann. Statist., Tome 22 (1994) no. 1, p. 369-394 / Harvested from Project Euclid
A class of exponential transformation models is defined on symmetric cones $\Omega$ with the group of automorphisms on $\Omega$ as the acting group. We show that these models are reproductive and the exponent of their joint distribution for a given sample of size $q$ can be split into $q$ independent components, introducing one sample point at a time. The automorphism group can be factorized into the group of positive dilation and another group. Accordingly, the symmetric cone $\Omega$ can be seen as the direct product of $\mathbb{R}^+$ and a unit orbit, and every $x$ in $\Omega$ can be identified by its orbital decomposition. We derive the distributions of the independent components of the exponent, of the "length" of $x$, the "direction" of $x$, the conditional distribution of the direction given the length and other distributions for a given sample. The Wishart distribution and the hyperboloid distribution are two special cases in the class we define. We also give a unified view of several distributions which are usually treated separately.
Publié le : 1994-03-14
Classification:  Reproductive distribution,  decomposition,  symmetric cones,  conditional,  maximal invariant,  62E15
@article{1176325374,
     author = {Massam, Helene},
     title = {An Exact Decomposition Theorem and a Unified View of Some Related Distributions for a Class of Exponential Transformation Models on Symmetric Cones},
     journal = {Ann. Statist.},
     volume = {22},
     number = {1},
     year = {1994},
     pages = { 369-394},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176325374}
}
Massam, Helene. An Exact Decomposition Theorem and a Unified View of Some Related Distributions for a Class of Exponential Transformation Models on Symmetric Cones. Ann. Statist., Tome 22 (1994) no. 1, pp.  369-394. http://gdmltest.u-ga.fr/item/1176325374/