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The explicit Laplace transform for the Wishart process
Affine processes Wishart process ODE Laplace Transform
2011/10/8
Abstract: We derive the explicit formula for the joint Laplace transform of the Wishart process and its time integral which extends the original approach of Bru. We compare our methodology with the al...
A characterization of non-central Wishart distributions
non-central Wishart distribution Gindikin ensemble Wishart processes
2010/11/29
This paper settles the existence issue of non-central Wishart distributions which is a research topic initiated byWishart (1928), and with important contributions by e.g., L´evy
(1937), Gindiki...
Generalised shape theory via pseudo-Wishart distribution
Shape theory maximum likelihood estimators zonal polynomials pseudo-Wishart distribution
2010/12/8
The non isotropic noncentral elliptical shape distributions via pseudo-Wishart dis-tribution are founded. This way, the classical shape theory is extended to non isotropic case and the normality assum...