pith. sign in

arxiv: 1004.3148 · v1 · pith:FKYUOOB6new · submitted 2010-04-19 · 🧮 math.ST · stat.TH

Why Jordan algebras are natural in statistics:quadratic regression implies Wishart distributions

classification 🧮 math.ST stat.TH
keywords mathcalmathbbwhendistributionsjordanoplusquadraticreal
0
0 comments X
read the original abstract

If the space $\mathcal{Q}$ of quadratic forms in $\mathbb{R}^n$ is splitted in a direct sum $\mathcal{Q}_1\oplus...\oplus \mathcal{Q}_k$ and if $X$ and $Y$ are independent random variables of $\mathbb{R}^n$, assume that there exist a real number $a$ such that $E(X|X+Y)=a(X+Y)$ and real distinct numbers $b_1,...,b_k$ such that $E(q(X)|X+Y)=b_iq(X+Y)$ for any $q$ in $\mathcal{Q}_i.$ We prove that this happens only when $k=2$, when $\mathbb{R}^n$ can be structured in a Euclidean Jordan algebra and when $X$ and $Y$ have Wishart distributions corresponding to this structure.

This paper has not been read by Pith yet.

discussion (0)

Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.