Star-shaped distributions and their generalizations

Details Star-shaped distributions and their generalizations Star-shaped distributions and their generalizations

2006-05-23

arxiv.org/abs/math/0605600v1

Journal of Statistical Planning and Inference, Vol.138, 3429-3447, 2008

Mathematics

Statistics Theory

Scientific paper

10.1016/j.jspi.2006.03.016

Elliptically contoured distributions can be considered to be the distributions for which the contours of the density functions are proportional ellipsoids. We generalize elliptically contoured densities to ``star-shaped distributions'' with concentric star-shaped contours and show that many results in the former case continue to hold in the more general case. We develop a general theory in the framework of abstract group invariance so that the results can be applied to other cases as well, especially those involving random matrices.

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