Hoffmann-J{\o}rgensen Inequalities for Random Walks on the Cone of Positive Definite Matrices

Autor:	Bagyan, Armine, Richards, Donald
Rok vydání:	2022
Předmět:	Mathematics - Probability Mathematics - Statistics Theory Primary: 60E15 62E15. Secondary: 60B20 62E17
Druh dokumentu:	Working Paper
Popis:	We consider random walks on the cone of $m \times m$ positive definite matrices, where the underlying random matrices have orthogonally invariant distributions on the cone and the Riemannian metric is the measure of distance on the cone. By applying results of Khare and Rajaratnam (Ann. Probab., 45 (2017), 4101--4111), we obtain inequalities of Hoffmann-J{\o}rgensen type for such random walks on the cone. In the case of the Wishart distribution $W_m(a,I_m)$, with index parameter $a$ and matrix parameter $I_m$, the identity matrix, we derive explicit and computable bounds for each term appearing in the Hoffmann-J{\o}rgensen inequalities. Comment: 22 pages
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2206.10138 Zobrazit plný text záznamu View this record from Arxiv