Ergodic Decomposition for Inverse Wishart Measures on Infinite Positive-Definite Matrices
arXiv:1901.03117 · doi:10.3842/SIGMA.2019.067
Abstract
The ergodic unitarily invariant measures on the space of infinite Hermitian matrices have been classified by Pickrell and Olshanski-Vershik. The much-studied complex inverse Wishart measures form a projective family, thus giving rise to a unitarily invariant measure on infinite positive-definite matrices. In this paper we completely solve the corresponding problem of ergodic decomposition for this measure.