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- W4312082823 abstract "In this research paper, we investigate an infinitely divisible p×p matrix gamma distribution AΓp(η,Σ), with parameters η>(p−1)/2 and Σ, concentrated on the cone of symmetric positive definite matrices. The parameter Σ is supposed to be a symmetric positive definite p×p matrix. We also display some of its fundamental properties. Additionally, we identify the link between this multivariate gamma distribution and the Wishart one, which leads us to prove that AΓp(η,Σ) distribution is asymptotically a stochastic linear combination of Wishart matrices. Moreover, we provide an explicit expression of the parameters estimators using the method of moments. Eventually, we exhibit a new simulation algorithm, grounded on the obtained results, in order to illustrate the performance of these estimators." @default.
- W4312082823 created "2023-01-04" @default.
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- W4312082823 date "2023-03-01" @default.
- W4312082823 modified "2023-10-02" @default.
- W4312082823 title "Infinitely divisible matrix gamma distribution: Asymptotic behaviour and parameters estimation" @default.
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- W4312082823 doi "https://doi.org/10.1016/j.spl.2022.109757" @default.
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