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Li, Songzi

Matrix Dirichlet processes. (English. French summary) Zbl 07097336

Ann. Inst. Henri Poincaré, Probab. Stat. 55, No. 2, 909-940 (2019).
Summary: Matrix Dirichlet processes, in reference to their reversible measure, appear in a natural way in many different models in probability. Applying the language of diffusion operators and the theory of boundary equations, we describe Dirichlet processes on the matrix simplex and provide two models of matrix Dirichlet processes, which can be realized by various projections, through the Brownian motion on the special unitary group and also through Wishart processes.

Cited in 1 Document

MSC:

47B25 Linear symmetric and selfadjoint operators (unbounded)
60B20 Random matrices (probabilistic aspects)
15B52 Random matrices (algebraic aspects)

Keywords:

matrix Dirichlet processes; diffusion operators; Wishart processes
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\textit{S. Li}, Ann. Inst. Henri Poincaré, Probab. Stat. 55, No. 2, 909--940 (2019; Zbl 07097336)
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