On the parameter domain of Wishart distributions and their infinite divisibility

Abstract

A complete characterization of Wishart distributions on the cones of positive semi-definite matrices is provided in terms of a description of their maximal parameter domain. This result is new in that also degenerate scale parameters are included. For such cases, the standard constraints on the range of the shape parameter may be relaxed. Furthermore, the infinitely divisible Wishart distributions are revealed as suitable transformations and embeddings of one dimensional gamma distributions. This note completes the findings of Lévy (1937) concerning infinite divisibility and Gindikin (1975) regarding the existence issue.