Wishart laws and variance function on homogeneous cones
arXiv:1802.02352 · doi:10.19195/0208-4147.39.2.6
Abstract
We present a systematic study of Riesz measures and their natural exponential families of Wishart laws on a homogeneous cone. We compute explicitly the inverse of the mean map and the variance function of a Wishart exponential family.
24 pages, Probab. Math. Statist (2019)