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A Characterization of a Matric-Variate Exponential Distribution |
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| Authors: | Donald St. P. Richards |
| Affiliation: | University of the West Indies, Mona, Jamaica |
| Abstract: | Suppose S is a positive definite m x m random matrix and S> Ω denotes the event that S—Ω is positive definite, Ω being a constant positive definite matrix. Under very mild regularity conditions, we show that the constraint Pr(S>Ω1+Ω2 | S>Ω2) = Pr(S>Ω1) implies that S has a Wishart distribution on m+ 1 degrees of freedom. |
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