G. Letac

activity

20072022

most citedWishart distributions for decomposable graphs

113 citations · 133 across the 18 of their papers we have counts for

collaborators

25 papers

math.ST2022★ 2 cited

The randomization by Wishart laws and the Fisher information

Gérard G. Letac

Consider the centered Gaussian vector $X$ in $R^{n}$ with covariance matrix $Σ.$ Randomize $Σ$ such that $Σ^{- 1}$ has a Wishart distribution with shape parameter $p > (n - 1) /2$ and m…

math.PR2022

About an extension of the Matsumoto-Yor property

Gérard Letac, Jacek Wesołowski

If $α, β > 0$ are distinct and if $A$ and $B$ are independent non-degenerate positive random variables such that $$S=\tfrac{1}{B}\,\tfrac{βA+B}{αA+B}\quad \mbox{and}\quad T=\tfrac{1}{…

math.PR2021

Duality for real and multivariate exponential families

Gérard Letac

Consider a measure $μ$ on $R^{n}$ generating a natural exponential family $F (μ)$ with variance function $V_{F (μ)} (m)$ and Laplace transform $$ \exp(\ell_μ(s))=\int_{\R^n} \exp(-\<s,…

math.ST2018

Location and scale behaviour of the quantiles of a natural exponential family

Mauro Piccioni, Bartosz Kołodziejek, Gérard Letac

Let $P_{0}$ be a probability on the real line generating a natural exponential family $(P_{t})_{t \in R}$ . Fix $α$ in $(0, 1) .$ We show that the property that $P_t((-\infty,t)…

math.ST2018★ 1 cited

Gaussian approximation of Gaussian scale mixture

Gérard Letac, Hélène Massam

For a given positive random variable $V > 0$ and a given $Z \sim N (0, 1)$ independent of $V$ , we compute the scalar $t_{0}$ such that the distance between $Z V$ and $Z t_{0}$ i…

math.PR2018

Is the Sibuya distribution a progeny?

Gérard Letac

For $0 < a < 1$ the Sibuya distribution $s_{a}$ is concentrated on the set $N^{+}$ of positive integers and is defined by the generating function $\sum_{n=1}^{\infty}s_a(n)z^n=1-(…