Journal of Multivariate Analysis 130 2014) 155-175 Contents lists available at ScienceDirect, Journal of Multivariate Analysis ec5 ELSEVIER journal homepage: www.elsevier.coin/locate/imva_ Infinitely divisible multivariate and matrix (Je i Gamma distributions Victor Pérez-Abreu®, Robert Stelzer™* = Department of Probability and Statistics, Center for Research in Mathematics CIMAT, Apdo. stl 4U2, Guanajuato, Gt, 36000, Mexico Insite of Mathemarcal Finance, Um Univesity, Heimboltztase 18, 0-89069 Un, Germany ARTICLE INFO ABSTRACT ‘atc histo: Classes of multivariate and cone valued infinitely divisible Gamma distributions are Received 11 June 2012 introduced. Particular emphasis is put on the cone-valued case, due to the relevance of Available online 4 May 2014 infinitely divisible distributions on the positive semi-defirite matrices iu applications ‘The core-valued class of generalised Gamma convolutions is studied. In particular, a ‘ANS 2010 sublet clssificatons: characterisation in terms of an It6-Wiener integral with respect to an infinitely divisible ema 6067 fandom measure associated {othe jumps ofa Lévy proces established eons ‘Anew example of a infinitely divisible positive definite Gamma random matrix i a inwroduce. te has properties which make it appealing for modelling under an infinite civility fameork An interesting relation ofthe moments othe vy measie andthe Key ‘Wishart distibution i highlighted which we Suppose to be important when considering ne ity cea the limiting distribution ofthe eigenvalues. Cone valued distribution wy process Matrix subordinator (© 2014 Elsevier Inc.All rights reserved, 1. Introduction ‘The classical examples of multivariate and matrix Gamma distributions in the probability and statistics literature are not necessarily infinitely divisible [14,19,40}. These examples are analogous to one-dimensional Gamma distributions and are obtained by a direct generalisation of the one-dimensional probability densities; see for example [15,23,24]. Working in the domain of Fourier transforms, some infinitely divisible matrix Gamma distributions have recently been considered in [5,27]. Their Lévy measures are direct generalisations of the one-dimensional Gamma distribution. The work of [27] arose in the context of random matrix models relating classical and free infinitely divisible distributions. ‘The study of infinitely divisible random elements in cones has been considered in [4,25,26,31] and references therein. They are important in the construction and modelling of cone increasing Lévy processes. In the particular case of infinitely divisible positive-definite random matrices, their importance in applications has been recently highlighted in |7.8.25,29]. ‘This is due to the fact that infinite divisibility allows modelling by matrix Levy and Ornstein-Uhlenbeck processes, which are in those papers used to model the time dynamics of ad x d covariance matrix to obtain a so-called stochastic volatility model (for observed series of financial data). Generalised Gamma Convolutions (GGC) is a rich and interesting class of one-dimensional infinitely divisible distribu- tions on the cone Ry = [0, 00). It is the smallest class of infinitely divisible distributions on R, that contains all Gamma * Corresponding author E-mail addresses: pabreueeimat ms (V. Pérez-Abreu),robertstelzer@un'-ulm de (R Stelzer. [URL tp) wwruni-alm.de maw finmath (R, Stelzer, up:/edotorg|10.1016),jmva 201404017 (0047-259K)0 2014 alsevier Inc Al rights reserved,156 V,Pez-Abreu,R Stele Journal of Multivariate Analysis 130 (2014) 155-175 distributions and that is closed under classical convolution and weak convergence. This class was introduced by 0. Thorin in a series of papers and further studied by L. Bondesson in his book [10]. The book of Steutel and Van Harn [3¢] contains also many results and examples about GGC. Several well known and important distributions on &,. are GGC. The recent survey paper by James, Roynette and Yor [16] contains a number of classical results and old and new examples of GGC. The multivariate case was considered in Barndorff-Nielsen, Maejima and Sato [3] There are three main purposes in this paper. We formulate and study multivariate and cone valued Gamma distributions which are infinitely divisible, Second, we consider and characterise the corresponding class GGC(K) of Generalised Gamma Convolutions on a finite dimensional cone x. Finally, we introduce a new example ofa positive definite random matrix with infinitely divisible Gamma distribution and with explicit Lévy measure. The main results and organisation of the paper are as follows. Section 2 briefly presents preliminaries on notation and results about one-dimensional GGC on 2, as well as some matrix notation. Section 3 introduces a class of infinitely divisible d-variate Gamma distributions (a, p). whose Lévy measures are analogous to the Lévy measure of the one-dimensional Gamma distribution. The parameters a and f are measures and functions on S (the unit sphere with respect to a prescribed norm), respectively. Itis shown that the distribution does not depend on the particular norm under consideration. The char- acteristic function is derived and it is shown that the Fourier-Laplace transform on C* exists if is bounded away from zero a- almost everywhere. Furthermore, the finiteness of moments of all orders is studied and some interesting examples exhibiting essential differences to univariate Gamma distributions are given, Section 4 considers cone valued Gamma distributions and their corresponding class GGC(K) of Generalised Gamma Convolutions on a cone X,, defined as the smallest class of distributions on K which is closed under convolution and weak convergence and contains all the so-called elementary Gamma variables in K (and also all Gamma random variables in K in our new definition). This class is characterised as the stochastic integral of a non-random function with respect to the Poisson random measure of the jumps of a Gamma Lévy process on the cone. This isa new representation in the multivariate case extending the Wiener-Gamma integral characterisation of one-dimensional GGC on Ry = [0, 0), as considered, for example, in {16}. Section 5 considers the special cone valued case of infinitely divisible positive-semidefinite d x d matrix Gamma distributions. New examples are introduced via an explicit form of their Lévy measure. They include as particular cases the examples considered in [5,27], A detailed study is done of the new two parameter positive definite matrix distribution AL(), E), where 1) > (d~ 1)/2 and E is ad x d positive definite matrix. This special infinitely divisible Gamma matrix distribution has several modelling features similar to the classical (but non-infinitely divisible) matrix Gamma distribution defined through a density, in particular the Wishart distribution, Namely, moments of all orders exist, the matrix mean is proportional to and the matrix of covariances equals the second moment of the Wishart distribution. When 3 is the x d identity matrix L., the distribution is invariant under orthogonal conjugations and the trace of a random matrix M with distribution A/"(y, ly) has a one-dimensional Gamma distribution. A relation of the moments of the Marchenko-Pastur distribution with the asymptotic moments of the Lévy measure is exhibited. Hence, this matrix Gamma distribution has a special role when dealing with a random covariance matrix and its time dynamics, e.g. by specifying it as a matrix Lévy or Ornstein-Uhlenbeck process. As an application, the matrix normal-Gamma distribution is introduced, which is a matrix extension of the one-dimensional variance Gamma distribution of [22] which is popular in finance. 2. Preliminaries For the general background in infinitely divisible distributions and Lévy processes we refer to the standard references, eg. [36] 2.1. One-dimensional GGC A positive random variable ¥ with law jz = ¢(Y) belongs to the class of Generalised Gamma Convolutions (GGC) on 2, = 10, .0) denoted by T(&, . if and only there exists a positive Radon measure , on (0, 0) and" > O such that is Laplace transform is given by ty(e) = Be = exp (ae ~ [* n(1 +2) vid) an) with f Hoge (de) < oe, ft — <00. (22) For convenience we shall work without the translation term, ie. with a of Its Lévy measure is concentrated on (0, 00) and is such th: The measure vis called the Thorin measure yy (dx) = Nala, (23)V. Prez-Abreu,R Stele Journal of Multivariate Analysis 130 (2014) 155-175 7 where J, is a completely monotone function in x > O given by ta) [rents (24) ‘The class T(2.,) can be characterised by Wiener-Gamma representations. Specifically, a positive random variable ¥ belongs to 7, ) ifand only if there isa Borel function h : Ry — Ry with fF inc ther 0: ,, (©) > s) fors > 0. then, is) = 1/F,,"(8) fors = 0. Many well known distributions belong to T(G,). The positive -stable distributions, 0 < ee < 1 are GGC with f(s) {s97(@ + ))-4 foraé > 0. In particular, for the 1/2-stable distribution, h(s) = 4 (st) | Beta distribution of the second Kind, lognormal and Pareto are also GGC, see | 16]. For more details on univariate GCS we refer Co {0,16}. 2.2. Notation ‘My(R) is the linear space of d x d matrices with real entries and sy its subspace of symmetric matrices. By Sj and 5; we denote the open (in Sg) and closed cones of positive and nonnegative definite matrices in Mg(R). Sa0,y.p is the unit sphere con R with respect to the norm jl [ ‘The Fourier transform ji of a measure ju on M = IR! or Mi = My(2) is given by i) [eno eM Where we use (A, B) = tA") as the scalar product in the matrix case, where A" denotes the transpose on M(B). By ly We denote the d x d identity matrix and by [Al the determinant of a square matrix A, For a matrix Ain the linear group #-74() we write A~T = (47 ‘We say that the distribution of a symmetric random d x d matrix MM is invariant under orthogonal conjugations if the distribution of OMO" equals the distribution of M for any non-random matrix O in the orthogonal group (qd). Note that M > 9MO" with 0 #(¢) are all linear orthogonal maps on Sj (or M) preserving S;.. 3, Multivariate Gamma distributions 3.1. Definition Definition 3.1. Let jz be an infinitely divisible probability distribution on R. If there exists a finite measure w on the unit sphere So, with respect to the norm jj - || equipped with the Borel ¢-algebra and a Borel-measurable fun B Spi) > By such that ii(z) = exp (L, [. (er -1)5 “aue)) (1) for all 2 € BM, then jis called a d-dimensional Gamma distribution with parameters a and f, abbreviated Iy(ar, )- distribution. If B is constant, we call ja jl --homogeneous Fy(or, B)-distribution. Observe that the notation Fy(«, ) implicitly aso specifies which norm we use, because a isa measure on the unit sphere with respect to the norm employed and f is a function on it. The parameters a and fi play a comparable role as shape and scale parameters as in the usual positive univariate case.158 V,Pez-Abreu,R Stele Journal of Multivariate Analysis 130 (2014) 155 Remark 32. (i) Obviously the Lévy measure v, of ic is given by eto yy(E) = [ fro drat) (32) forall E © #(R"), This expressi equivalent to e-Po/iebit v,(dx) = ada), xe RE (33) re wheres a measure on given by H=[ [Putrodradn, eae (34) (ii) Likewise we define Me(R) and Sg-valued Gamma distributions with parameters a and (abbreviated uy(ct, A) and T,(, B), respectively) by replacing R¢ with Miy() and Sa, respectively, and the Euclidean scalar product with (Z,X) = tr(X"Z). Allupcoming results immediately generalise to this matrix-variate setting, We provide further details in Section 5, Ifd = 1 and w({—1}) = 0, then we have the usual one-dimensional /*(a({1}), 6(1))-distribution. In general it is ele- ‘mentary to see that for d = 1 a random variable X ~ Fy(a, 8) if and only if X 2X, — Xp with X ~ Ma((1}), BA) and X ~ F(e({—1}), B(—1)) being two independent usual Gamma random variables, i.e. X has a bilateral Gamma distribution 238 analysed in [19,18] and introduced in [11,22] under the name variance Gamma distribution. If a(j1}) = a({—1}) and (1) = B(-1), itindeed can be represented as the variance mixture of a normal random variable with an independent pos- itive Gamma one (a comprehensive summary of this case can be found in [39] where it is called sym-Gamma distribution). Now we address the question which «, 6 we can take to obtain a Gamma distribution. Proposition 3.3. Let c be a finite measure on Spay and f: Sga.y > Ry a measurable function. Then (3.2) defines a Lévy measure v, and thus there exists a (a, 8) probably distribution [if and only if 1 in(14 aid) <0 35 [, : n( Bw ) a Moreover, fya( Ill 1)y,(dx) < 00 hols true. The condition (3.5) is trivially satisfied, if 6 is bounded away from zero a-almost everywhere. Proof. 1 ae if ar,ce = f f dra dv) [ Fede) < at y044) < 00 ist Ses, 10 Soy, BO) using the elementary inequality 1 — e-* < x, for each x € ,. Denoting by Ey the exponential integral function given by E(z) = J Sat forz € R,,we get og How f oC) -[ f dratae) = [ E\(B(o))a(dv) (36) nt Sag Sey = [ era, @7) b where we made the substitution z = A(v) and r(E) = a(B”'(E)) for all Borel sets £ in Ry. Since r is a finite measure and By measurable. If |- ly is another norm on RE, then sis a Falco, Ps) distribution with a» being a finite measure om Sy, aNd Py: Spay, > Ry Measurable. Moreover, it holds that I Polvo) = B (; aye e (Gem YE €MSy:45) (38) oy Poll ) Hevlla Ves € Sn (9) ‘The above formulae show that the mass in the different directions, which is given by c, does not change, and 6 only needs to be adapted for the scale changes implied by the change of the norm. Proof. Substituting first vp = v/l[ully and then s = r/llvplle gives oo(f [ers Pawan) -o0( ff (e exp [ i fe Aria) Fol dsap(dvy) ]. 3.2, Properties In this section we study several fundamental properties of our Gamma distributions. Proposition 3.5. Any y(«, f)-distribution is self-decomposable, Proof. ‘This follows immediately from the definition and [36, Theorem 15.10]. Later on we will considerably improve this result by showing that we are in a very special subset ofthe self-decomposable distributions. This result has important implications for applications where one likes to work with distributions having densities, ie. distributions which are absolutely continuous (with respect to the Lebesgue measure) Proposition 3.6. Assume that supp is of full dimension, ie. that it contains d linearly independent vertors in R. Then the Talat, B) distribution is absolutely continuous. Proof. It is immediate that the support of (cr, f) is the closed convex cone generated by supp. Hence, the support of Ta(a, 6) is of full dimension and so the distribution is non-degenerate. Thus [35] concludes. ml Itfollows along the same lines that in the degenerate case the (a, 8)-distribution is absolutely continuous with respect to the Lebesgue measure on the subspace generated by supp «. If supp a consists of exactly d linearly independent vectors, Ta(at, ) equals the distribution of a linear transformation of a vector of d independent univariate Gamma random variables with appropriate parameters and thus the density can be calculated easily using the density transformation theorem with an invertible linear map. If suppa is a finite set of full dimension, one can calculate the density from the density of independent univariate Gamma random variables by using the density transformation theorem with an invertible linear ‘map and integrating out the non-relevant dimensions. In general the density can be determined via solving a partial integro- differential equation (see [37]). Moreover, criteria for qualitative properties of the density like continuity and continuous differentiability can be deduced from the results of (33.34). but looking at the simple case of a vector of independent univariate Gamma distributions one immediately sees that the sufficient conditions given there are far from being sharp. Therefore we refrain from giving more details. Next we show that our d-dimensional Gamma distribution has the same closedness properties regarding scaling and convolution as the usual univariate one.160 V,Pez-Abreu,R Stele Journal of Multivariate Analysis 130 (2014) 155-175 Proposition 3.7. (i) Let X ~ F(a, 8) andc > 0. Then cX ~ Iya, B/e). (ii) Let X -~ Tyla, B) and Xz ~ Fy(c2, B) be two independent d-dimensional Gamma variables. Then X, + Xz ~ Talory +02. B). Proof. Follows immediately from considering the characteristic functions. a Likewise itis immediate to see the following distributional properties of the induced Lévy process. Proposition 38. Let L be a g(a, 8) Lévy process, ie. Ly ~ Fy(u, ). Then Ly ~ y(t, 8) forall « Ry Of high importance for applications is that the class of Fy distributions is invariant under invertible linear transformations. Proposition 39. Let X ~ F(a. ) (with respect to the norm | - |) and A bean invertible d x d matrix. Then AX ~ Ty(at, Ba) with respect to the norm || |, = ||A~'- || and aust) [ Te (Av) a(dv) =a(AE) VE € AS ye.) (3.10) Sete Bale) = BAe) Wve Seo pay Gan Proof. We have forall z € BY [emnan= ff (ers) l. a Ler) ee draiA do) L Le 1) saat Lo be et" — 1) ——dragidu) where we substituted u = £(e*0) I is easy to see that the above proposition can be extended to m x d matrices of full rank with m > d, Obviously, such a result cannot hold in general for a linear transformation A with ker(A) # (0}, since combinations of one dimensional Gamma distributions are in general not univariate Gamma distributions. ‘Next we present an alternative representation of the characteristic function, Proposition 3.10. Ler 4c be Fy(c,) distributed. Then the characteristic function is given by Fe BO) ) a @= EO) tae) sor Aw vo( [ (as rz) ad) ) fora z © R (3.12) where In is the main branch of the complex logarithm. Proof. Follows from the definition and the well known fact Note that if has countable support [uyljcx. then rt Buy) 7 v0 Ts) We now show that the Fourier-Laplace transform of a Gamma distribution exists if and to a certain extent only if f is bounded away from zero e almost everywhere. Theorem 3.11. (i) The Fourier-Loplace transform ji ofa Fa(a, f) distribution jt exists forall in a neighbourhood U CC! of zero, if fw) 2 & for v € Spy ae. with x > O. fis analytic there and given by formula (3.12). (ii) Ifthere exists a sequence (vn yet it Sy. With limig.so Ben) = Oand ce({rn}) > Ofor all € N, then the Fourier-Laplace transform jt exists in no neighbourhood U < C4 of zeroV. Prez-Abreu,R Stele Journal of Multivariate Analysis 130 (2014) 155-175 161 Proof. Using Proposition 3.4 we can assume w.Lo.g. that the Euclidean norm [I - 2 is used for the definition of the Fy(at, B) distribution. (i) We will now show (i) for U = B,(0) © C4, where Be(0) lz) exists forall z € B(0) ¢ C¥,if and only if ie gabon =f (1-2) aca {x Cf: |fxll2 < 4). From Proposition 3.10 itis clear that exists for all 2 € B,(0). Consider now an arbitrary 8 € (0, 1) and z € B,¢(0). Then the Cauchy-Schwarz inequality implies jiv™2| < [ella = dx and hence |(iv"2)/B(v)| = 8. Therefore in (1 ~ #5) exists and is bounded on Bs-(0) a-a.e. This implies that Fo [ in(1 we) ect) Is, Fa) ete exists on Bs, (0). Since 5 € (0, 1) was arbitrary, this concludes the proof of (i), since the analyticity follows immediately from the appendix of [12] (ii) WiLog, assume f(v,) < 1/n. Form € N set zy Hence, iv'Za in(1— 22) cdo) and there I, ( ne) 7 [ 0. iB(oy)v4. Then [zo = Bq) < 1/nand 1 ~ (ivf z9)/B(n) iv "ze in(a— ad o( ma) oe do not exist This implies that fis not defined on Byq(0)-Since n € N was arbitrary, this shows (i). m Proposition 3.12. A (a, 8) distribution ju has a finite moment of order "> 0, i. fxs [Ix\!*se(dx) < 00, ifand only if JL por tata) «20 (6.13) ei Moreover, if m is the mean vector and S = (oy)is~1,...a is the covariance matrix of M(a, 8), then m= [partway (14) and pa [ fey rae (3.15) Sad Proof. If f is bounded away from zero, (3.13) holds trivially and Theorem 3.11 implies that has finite moments ofall orders k > 0,S0 wd.og. assume that f is not bounded away from zero in the following. By [36, . 162] x has a finite moment of order k,ifand only if moe Biew f [ 1 dra(dv) < 00. beau Substituting s = rp(v) this is equivalent to [ Boy * | se *dsa(dv) < 00. (3.16) bees hw Assuming without loss of generality that (wv) = 1 forall v © Spe). we have that [ le ‘ws [ sMletds < ry. 1 0) Hence, (3.16) is equivalent to (3.13). Finally, (3.14) and (3.15) follow from Example 25.12 in [36] and observing that the infinitely divisible distribution F(a, 6) with Fourier transform (3.1) has Lévy triplet (¢, 0, v,.), where yc). 0< Cy182 V,Pez-Abreu,R Stele Journal of Multivariate Analysis 130 (2014) 155-175 Corollary 3.13. A || « ||-homogeneous F(a, B) distribution has an analytic Fourier-Laplace transform in Ba(O) and finite ‘moments of all orders. Hence, any homogeneous Gamma distribution behaves like one would expect it from the univariate case. However, the behaviour in the non-homogeneous case may be drastically different, as the following examples illustrate. Example 3.14, Consider d = 2. Leta be concentrated on {1)j}aex With vq = (sing '), cos(n')) and set e({v,}) = e" and A(v,) = 1/n for all n € N. Then by Theorem 3.11 (ii) the Fourier-Laplace transform exists in no neighbourhood of zero. Jay, BAY) Fatdv) = Yoyey née is finite for all k > O using the quotient criterion, because (nt heron? lim, <1 make Thus, we have moments of all orders, but the Fourier-Laplace transform exists in no complex neighbourhood of zero. Example 3.15. Consider the set-up of Example 3.14, but set now a((r}) 1/n'" for some real m > 0. Jog, BOY Keto) = Dopey afer Is finite if and only if k < m, Itis easy to see that condition (3.5) is satisfied if condition (3.13) holds for some k > 0. Hence, the /(«, 6) distribution exists indeed, but only moments of orders smaller than m are finite. Example 3.16. Consider again the set-up of Example 3.14. Set now a((v4}) = (In(1 + n)*(n +0). Then Jo, N(1-+ gay) ede) = Sen aqraariren ~ 2° (56€ 132. Theorem 3:29) an thus the /3(@, A) distribution is well-defined. : Yet. Jb, ,, BO) *a(de) = Loon igre = 9° for all real k > O and so the />(«, 8) distribution has no finite ‘moments of positive orders at all. 4, Gamma and generalised Gamma convolutions on cones 4.1. Cone-valued infinitely divisible random elements We first review several facts about infinitely divisible elements with values in a cone of a finite dimensional Euclidean space B with norm jj and inner product (.,-). A nonempty convex set K of B is said to be a cone if 4 > 0 and x € K imply 4x © K.A cone is properif x = 0 whenever xand —xare in K. The dual cone K’ of K is defined as K’ = [y ©B’: (y,s) = 0 foreverys EK}. A proper cone K induces a partial order on B by defining x; <« X. whenever Xz —x1 €K forx, € Band x; € B. Examples of proper cones are R,, R4 = [0, 00), 8} and 5, Aranclom element X in is infinitely divisible (1D) ifand only for each integer p > I there exist p independent identically distributed random elements Xi, .... Xp in K such that XX; + --- + Xp. A probability measure je on K is ID ifit isthe distribution of an ID element in K. Iris known (see [38]) that such a distribution sc is concentrated on a cone K if and only if its Laplace transform L,.(@) = Jj, €xp(— (@.x)),e(d) is given by the regular Lévy-Khintchine representation vo{-t0.00- [- where Wo € K and the Lévy measure is such that v.(K* 0) 9%) valde} forall © eK’, (4) Oand fev AD) %a(dx) < 00, (42) k IEX = (X(0); € = 0} isthe K-increasing Lévy process K-valued subordinator) associated to sits Lévy-It6 decomposition is of the form xe =o [ [ 01. a 1Wo+ SAX) as., (43) where AX(s) € K forall > 0 as. and N(de, dx) isa Poisson random measure on Ry x K with BIN (de, dx)] = vp (dae (44)V. Prez-Abreu,R Stele Journal of Multivariate Analysis 130 (2014) 155-175 163 42. Cone-valued Gamma distributions Let}, be the unit sphere of B with respect tothe norm || and let K be a proper cone of B. We write Sf denote by AS) the Borel sets of Sk Similar to Definition 3.1 we have Gamma distributions inthe cone K. py 0K and. Definition 4.1. Let j« be an infinitely divisible distribution on the cone K. If there exist a finite measure a on Sf, and a measurable function 6 : $4, > Ry such that ~ oP wire f f (1 e92) Gracey (45) Sy 40 for all © © K’, then jis called a K-Gamma distribution with parameters «rand f, and we write je ~ Tc(e, #). The Lévy measure v, of is wo=[ and satisfies dra(dU), E € (Kk), (46) min(1, I))vy (dx) < 00. (47) ‘The expression (4.6) is equivalent to PMID ed oe 10d), 1x 1 (X)E(AX), (48) where @ is a measure on K given by (dX) a= f 1e(rU)dra(dU), E € 2A(K). (49) bs, bo All properties of the multivariate Gamma distribution in Section 3 are also true for the cone-valued Gamma distribution. Asin Proposition 3.3 we can in particular show that there exists a F(a, ) probability measure j« if and only iF 1 in(14 1) atau) 0, if and only if BAU) *a(dU) < 00. (4.12) Sh Inthe homogeneous case. ie. A(U) = fi > Ofor any U € Sf ,,we have E [IMI < oo for any k > 0. IPM isa random element in K with distribution I'-(a. 6) and (4.12) is satisfied with k = EM. BU) 'Ua(du) (4.13) 43, kO-Wiener-Gamma integrals In this section we formulate an It6-Wiener-Gamma integral for the K-valued Gamma process, similar to the 1k6-Wiener-Gamma integral (2.6) with respect to the one-dimensional Gamma process, Let y = y(a. B) = (yest > 0) be a K-valued Gamma process. That is, y is the K-increasing Lévy process such that Hap = Felot, B) is the distribution of y4, Let N,(ds, dx) be the random measure on R, x K associated to the K-valued164 V,Pez-Abreu,R Stele Journal of Multivariate Analysis 130 (2014) 155 jumps of y and v,,, . be the Lévy measure of y;. Hence HN (de, cx)} = (dxdt, where By nal [ teu) —dra(du), E € (k). ss, do r Leth: Ry x Sf) —> Ry be a measurable function such that vs, U) Lf (14 MEO) ea yds < 00 (4.14) in which case we say that h belongs to L('¢(a., 8). The last condition is the cone analogon of the one-dimensional condition (25). We prove in the next proposition that the following It-Wiener-Gamma integral type is well defined F fol Fy) ves, av) (4.15) oI ist in the framework of integration with respect to infinitely divisible independently scattered random measures (i.d.iss.m.) in Rajput and Rosiriski [30] (see also [9] for the special case of random matrices). Proposition 4.2. The integral (4.15) is well defined if and only ifthe function h: Ry. x Sf > R. belongs to L(L(c, B)) Moreover, h © L(Tc(a, B)) and only if I f rin (1, h(S,X/ [xxl tg, 9(€X)2s < 00, (4.16) and (4.16) is equivalent othe following two conditions 2 f [ In 2)1 Gy(de)ar(dU) < 20 (4.17) st, Jo I if deuide)atau) < 20 (4.18) here Gy(dz) is the measure on R. which is the image of the Lebesgue measure on ity under the change of variable s —> B(U)/HKs, U). Proof. By [9,30] the existence of the integral is equivalent to (4.16) Since B(U) < 0a.¢. U, Fubini’s theorem and elementary computations give Te f fein tes este feix)ds (4.19) ae 80) LFF mina. ines. vpn aracauyas Jo So r ce ptm) op goin L&I swe ®Paraayy+ ff f dra(dU) se, Jo be. Jo dhimeuy MSW (protean Lf (Me) Ld map Desay +f ry) ose) (420) where £; is the exponential integral function as in the proof of Proposition 3.3. Using the change of variable 2 = (U)/h(s, U) we have ie Ey (2) Gy(dz}dsee(U) = by + by (421)V. Prez-Abreu,R Stele Journal of Multivariate Analysis 130 (2014) 155-175 165 We shall in the following show that! < oo if and only if ~ 1 b= f f In (1 + :) Gy(dz)a(dU) < 00 (422) se, Jo z if and only if (4.17) and (4.18) are satisfied. This concludes, as obviously (4.22) and h € L(Tix(ar, 8)) are equivalent. First, Lo Gy(de)ata) < 00 (423) if and only if (4.18) holds, if and only if w= f, fon(1+2)evtmian 1asz > oe. On the other hand, [, [Pevrcaenan x 4 iff and only if (4.17) holds (since E\(z)/(~In(z)) —> 1.asz -> 0) ifand only if 1 =f f tn(14 2) cu(aeyacauy (U)/n(s, U). Moreover, the Lévy measure of ¥" is vwier= fi L 10) areiau), Ee wik) (4.26) where warn [eu an165 V,Pez-Abreu,R Stele Journal of Multivariate Analysis 130 (2014) 155-175 Proof. Using the obvious analogue for the Laplace transform of the formulae for the characteristic functions of the integrals with respect to id.is.r.ms in [9,30] we obtain ba) = exp (~ f . (1-8 teats raat) (fC ff o-emron Fenana) As in the last proposition, let Gu(dz) be the measure on Ry. which is the image of the Lebesgue measure on Ry. under the change of variable s > (U)/h(s, U) = 2(U). Then (Lf, £ e-em) nan) Coteau) aan) Hence, combining (2.2) with the existence conditions for the integral, Gy(de) is a Thorin measure on R for a-a.e.U. a La) 44, Characterisation of cone valued GGC In this section we define Generalised Camma Convolutions CGC(K) in the cone K and characterise this class as the distributions of the K-valued random elements represented by the stochastic integral (4.15). The result is an extension to tthe cone valued case of the Wiener-Gamma integral representation of one-dimensional generalised Gamma convolutions, see Section 1.2 in [16], ‘Similar to the multivariate case (see [3]), we define GGC(K) as follows. Definition 44. The class GGC(K) is the collection of al infinitely divisible distributions on K with Lévy measure v,, having a polar decomposition v.lE) Lf rev) araau), Ee ak), (428) 55 Jo where ky(r) is a measurable function in U and completely monotone in r for a-a.e. U A probabilistic interpretation of the class CCC (K) is provided by Theorem 4.6 below. Proposition 4.3 says that the class of distributions of the Wiener-Gamma integrals Ys with h € L(x(a, 8) is GGC(K). We now prove thatall distributions in GGC(K) havea Wiener-Gamma integral representation, For simplicity we consider the case without drift, that is Yo = 0 in (4.1) and (4.3). Otherwise ye vor [> [n(s GG) amesoo ‘Theorem 45 (Wiener-Gamma Characterisation of GGC(K)). For any ixed Borel-measurable function fz Sf, —» R, bounded away from zero it holds that fo with GGCo(K) denoting all generalised Gamma convolutions on K without drift. ‘The condition on # above is needed to ensure the existence ofthe Gamma random variables for all finite measures c. The result implies that starting with any fixed homogeneous (or non-homogeneous with f bounded away from 0) Gamma distribution one can obtain all generalised Gamma convolutions as the sum of a constant and a Wiener-Itd integral with respect to the jump measure obtained from this fixed distribution Proof. Let © GGCa(K) with Lévy measure given by (4.28). Since ky(r) is completely monotone in r for w-a.e. U, there exists a Radon measure Gy such that ky(r) = Jo e-" Gy (dz). Moreover f [rs.xrisinves. «1 a finite measure on s4(S))), h € LUie(at, B)) | = GGCo(K) bo Ik f inc AY rata < oe, (42)V. Prez-Abreu,R Stele Journal of Multivariate Analysis 130 (2014) 155-175 7 Let Fey (x) = [f Gu(dz) for x > Oand F;,"(s) be the right continuous generalised inverse of Fa, (s). Letts, U) = 1/Fg,\(s) and h(s, U) = A(U)i(S, U) for s > 0.[t follows as in the one dimensional case that Gy,..a-a.. U, is a Thorin measure which is the image of the Lebesgue measure on (0, oc) under the change of variables > 1/hs, U). That i, [bas [ e as [ e*Gy(dz), x > 0 5 b 5 fe "Gy (de)dra(dU) M2 erent [1 (%D) oe L Cl Me )) ards) + Oa )aeey ‘Thus (4.28), Proposition 4.2 and (4.20) imply h € L(Jie(a. B)). Let N(ds, dx) be the Poisson random measure associated to Teter, A) and Y= f° fi h(3.x/InDxN (ds, dx). Then Proposition 4.3 shows that jis the distribution of Y* which concludes the proof. and We also have another characterisation of GGC(K), similar to a characterisation of multivariate GGC proved in [3, Theorem F]. This gives another probabilistic interpretation of GGC(K). We call XV an elementary Gamma variable in K ifX is a non-random non-zero vector in K and V is a non-negative real random variable with one-dimensional Gamma distribution (a, f). ‘Theorem 4.6. GGC(K) is the smallest class of distributions on K closed under convolution and weak convergence and containing the distributions of all elementary Gamma variables in K. Proof. The proof is along the same lines to that of Theorem F in (3, p.27]. This implies also that GGC(K) is the smallest class of distributions closed under convolution and weak convergence containing all K-valued I distributions in the sense of Definition 4.1. It is trivial to see that GGC(K) includes all K-valued stable distributions using the spectral representation of stable Lévy measures and maps h of the form h(s, U) {s8(U) Pe + 1))-4 withO 0. When dealing with random matrices, a useful matrix norm is the trace norm defined for X € My() as [Xi] = tr ((XTX)'). We write S, SF, = 5,4 03). Fork 5}, IX = eX) ands in particular, ifU € §j,.(U) = [Ul] = 1. By Proposition 3.4 itis not important which norm we use. So we choose the one ‘most convenient to work with, 5.1. General case ‘The matrix Gamma distribution .~ F(a.) on has the Laplace transform ~ AU 4 1,(0) = ex -[ [ (1-2) aratauy}. ¥0 € 8} 61) ah with alternative representation (U0) oe 1,(0) off ne oe de ao} vo € 5} (62) f ‘Additional properties of Gamma random matrices to those for the general cone valued case in Section 42 are the following. FM is a symmetric random matrix with Gamma distribution 15, (a, f) tM) follows a one-dimensional Gamma convolution law. However, in the homogeneous case f(U) = fy > 0. tr(M) has a one-dimensional Gamma distribution aS), Po)168, V,Pez-Abreu,R Stele Journal of Multivariate Analysis 130 (2014) 155-175 Proposition 5.1. (a) If M ~ I3y(c,B). tr(M) has a one-dimensional GGC law with Laplace transform = 7 6 were) = [- I (: £) woot | a oo {- f° n(1 42) veata ie where v.,p is the Thorin measure on (0, 00) induced by (dU) on $}:, under the transformation U —> f(U). (b) If M~ Fay (a, ) with BLU) = fo, then tr) has the one-dimensional Ganima distribution a(S). Bo. Proof, For? > 0, let @ ly. Since we) (from (4.11) were oxo fn (r- Stir) es} wool Lm(esS)aeof Where v5 is the measure on (0,00) induced by a(dU) on Sj) under the transformation U —> A(U). Then, using (2.1) we obtain (a). For (b) we observe that from the first equality in the last expression with (U) = lo, we obtain Ee — (1 4.8/B9) “0, Any matrix Gamma distribution (a, 6) is self-decomposable and if supp(a) is of full dimension, it is absolutely continuous with respect to the Lebesgue measure on, (which can be identified with B"#*/) and so there isa density. The proof follows from the multivariate case, identifying the cone S} with B+”, Moreover, since the Lebesgue measure of 8, \ Sj is zero, the distribution 13,-(c, 8) is supported in the open cone X > 0. In other words Corollary 5.2. Let M be a random matrix with Gamma distribution 3; (a, B) with supp(a) of full dimension, Then P(M > 0) =1 Ef ‘The following result is an adaptation of Proposition 3.8 to special linear operators preserving the cone S}.. Observe that all invertible surjective linear operators preserving Sj are of the form X +-» CXC with some C € GLa(iR) (see [20.21]). Proposition 5.3. Let M ~ F(a, A) with respectio the trace norm fj and let C €:4-24(R)-Then ¥ = CMCT ~ Is, (te, Be) where $),, = 8). 5; Jor Bie = |C-18C-T | and ac(E) =a(C EC"), VE € AS}. (54) and BAU) = BICC), WeShy.. (55) Moreover, ¥ ~ Ig. (@c. Bc) with respect to the trace norm ||-| where ace) -/ 1: (a) acU), VE €.#5},) (66) Isp) * MIU and Be) = fe (a ) llUlic, YU e Sify. (57) Example 5.4 (Diagonal Matrix With Independent Entries). As pointed out in (5], an infinitely divisible non-negative definite random matrix M has independent components if and only if itis diagonal and therefore its Levy measure is concentrated in the diagonal matrix axes E" € 5,,i = 1,....d. Thus, a Gamma random matrix M ~ (eB) has independent components, if and only if there exist non-negative numbers fy, ... Ay such that the Lévy measure vy is given by seer wulb) = Yratey [ear be a6) r Further examples are considered in the next section,V. Prez-Abreu,R Stele Journal of Multivariate Analysis 130 (2014) 155-175 169 5.2. The AI-disiribution We now introduce a special matrix distribution A/(n, £) in the open cone Sj with parameters, ) > (d — 1)/2 and E € 5}. We study several properties including a relation between cumulants of A/“(), ©) and the moments of a Wishart distribution. The multivariate Gamma function, denoted by /4(n). is defined for Re(n) > (d — 1)/2as ran) = [oor 0a, 58) where dX is the Lebesgue measure on Sj (identified with R“4*"”/); see for example [24, p. 61]. An alternative expression for Fy(0) is (24, Theorem 2.1.12) 4 1 sin) =a OAT] >a Tab) = Hej»), Re(n) > (d= 1)/2. (69) The special infinitely divisible matrix Gamma distribution Ay(, Z) is defined as follows. For n > (d — 1)/2. consider the measure p, (AX) = g,(X)aX on the open cones} where 7) e (X) = Coq KIMENZ, X > 0, 5.10) = Ca egy I hie and Pind) Cay = 4 5.11 an = On 611) and 04, > Ois given. Proposition 55. Let > (d — 1)/2. Then there exists « homogeneous Gamma matrix distribution My (cy. ) with respect co the trace norm where BU) = foreach U eS}, anda, is the measure on S}, given by pa (AU) = Can IU ay (5.12) with (Sj) = e249. Moreover, the Lévy measure of 1, (ay. 6) isp, and has a polar decomposition ~ "judy x PAE) = | BAX = Coy teu) dr. Be #68). (5.13) Ie Iss, Jo re weer Proof. To show the existence of the matrix distribution 17; (a, 8), by Proposition 3.3 it suffices to prove that ay is a finite measure, since trivially B satisfies (4.12). The fact that I+ (a,, 8) is concentrated in the open cone S} will follow by Corollary 5.2 since from (5.12) supp(r,) has full dimension. For X > O make the change of variable XeWrst), W)=1, aX = rH drdy (5.14) [23, p. 111], Using this in (5.8) and the fact that |rU| = r4 UI Tabs) EL rte-"ar ju — oe in) = ane : lo Ise, err ri au = rod | lO Gana (5.15) and hence «y($}),) = o%,y- Using again the change of variable (5.14) we have (5.13). a Definition 5.6. Let > (d — 1)/2 and © ¢ Sj. An infinitely divisible p x p positive definite random matrix M is said to follow the distribution AYa(n, ©) if it has Gamma distribution M5 (ay.2. Bx) with respect to the trace norm where Br(U) = tr(S-'U) and 1 © [EP eeu and a, is given by (5.12). ay, 2(0U) a1, (dU) (5.16)v0 V,Pez-Abreu,R Stele Journal of Multivariate Analysis 130 (2014) 155-175 Remark 5.7. (a) The distribution AFu(n, 2) has also as a parameter the total mass «y(S}.)) = wa. This parameter is conjectured to be of particular importance when considering the limiting spectral (eigenvalue) distribution as the «dimension goes to infinity, since it may then depend on 7 or d Particularly, interesting choices of ,y in this connection should be dn, d or a constant, (b) The case m = (d+ 1)/2 was considered in Barndorff-Nielsen and Pérez-Abreu [5]. (©) Note that for n € ((d ~ 1)/2, (d+ 1)/2) the Lévy density becomes infinity at the non-invertible elements of Sj (ie. the matrices which are positive semi-definite, but not strictly), whereas for) > (d + 1)/2 the Lévy density becomes zero at the non-invertible elements of $j. For 9 = (d+ 1)/2 we have that a, is the uniform measure on the unit sphere. (4) The Fourier-Laplace of the distribution ALy(n, la) is e7 )cen (v4 SO) we are Yo es}. ws, pay)! igen | -¥9 €8i- 1,(0) (e) This is an absolutely continuous Lévy measure. For similar alternatives with continuous singular Lévy measures, see the BI; distributions with q < d in the next section. (© 9 > (d= 1)/2isa necessary and sufficient condition to define a proper Lévy measure. The sufficiency is shown above. For the necessity it is enough to note that the poles of the Lévy density different from zero need to be of an order lower than one in order to give a valid Lévy measure. Note that if M ~ Ar*(n, ly). then 12M ¥1/? ~ Ary(y, ¥). This follows from Proposition 5.3 which also gives together with Proposition 5.5, that ATy(n, 3) has Lévy measure p,,2(0X) = gy, r(X)dX where fan Ee By. (X) = St Sgr, x 30, (5.17) [EP [ue oo] The existence of moments of all orders of AI™y(1j, ly) follows since (4.12) is trivially satisfied. The same is true for AIy(), 5) since 52M E"2 ~ APy(n, E). In the homogeneous case the distribution A/y(n, #1,) with o € R° is invariant under orthogonal conjugations and the trace follows a one-dimensional Gamma distribution, Lemma 5.8. Let > (d—1)/2ando > 0. (a) The distribution AT(, oly) is invariant under orthogonal conjugations. (b) If M ~ AF g(7, oly), then tr(M) follows a one-dimensional Gamma distribution I'(o.,y, 0). Proof. It is well known that the measure dX/|X|(“*/? is invariant under the conjugation X — CXC', for X > 0 and any non-singular matrix C (see |13, Example 6.19]). The determinant and the trace norm functions are invariant under the conjugation X —> OXO", forX > Oand any O € o(d). Thus the Lévy measure p91, with density (5.17), © = oly, is invariant under orthogonal conjugations and so the matrix distribution A/(y, ola) is. Proposition 5.1(b) gives (b). @ ‘The cumulants of the distribution A/(1, oly) are related to the moments of the Wishart distribution, as we prove below. Recall that a d x d positive definite random matrix W is said to have a Wishart distribution Wain, d) with parameters: n> d= land 5 © Sj, ifits density function is given by f(A) = se HE lee gg (5.18) 2 raz As usual we denote by A ® B the tensor product of the matrices A and 8. We recall that if A and B are in M,, then tt(A @ B) = tr(A)tr(B) and [A & B| = |A!"|B1" We use the notation b(n. m) = 1°(n)(m)/"(n + m) for the Beta function, with Re(n) > 0, Re(m) > 0, and for the ‘multivariate Beta function, denoted by By(X. y), Fay Fyn) Fen = Team Re(n) > 0, Re(m) > 0. (5.19) Proposition 5.9. Let n> (d — 1)/2 and gy, r(X) be the Lovy density of AF y(n, £). Let W be a random matrix with Wishart aistribution Wa(2n, 5). For any integer p > 0 the following three identities hold fa) [ XPg,,200)0X = "(nd p)EW?. (5.20) =o 2V. Prez-Abreu,R Stele Journal of Multivariate Analysis 130 (2014) 155-175 ™ (b) [xte2008 = "Bind, pyE(W®?) (5.21) (©) : ous J.P ss00ax = St8004. poe) (622) Io a Bind, pd) = ety Zr. 523) anT UP aera LEP ¢ Proof. The existence of the integrals (5.20)-(5.22) is seen as follows, The finiteness of the p-th moment of AIy(, 2) is equivalent tothe existence of the p-th moment ofits Lévy measure (away from the origin). Then fo [XII g,,x(X)0X = 90 for any p > O gives the existence of the integral in (5.20). Since for X > 0 tr(X®) = (tr(X))" = XI? and |X| = [IX|!f, one also obtains the existence of the integrals in (5.21) and (5.22), respectively. ‘The identities in (a)-{c) are consequences of a more general result for ¢-homogeneous functions which we now prove: Leth: S} — be a function such that h(rX) = rth(X) for anyr > Oand X € Sj and some fixed q > 0, where H is 8}. (8})°” and (, oo) for (a)-(c) respectively. in the cases (a) and (b) we have q = p while for (c) q = dp. The change of variable V = ¥~/2x 5-2, the invariance of the measure |X|~**/? dx under non-singular linear transformations and writing he(Y) = h(£Y?Y £1) give: aye avy =f W(X) By, 2 (XOX conf Ree ee ko IEP" (2-1X))™ =a, he) |v 0? ay, ho my Using (5.14), the definition of the Gamma function, first for *(q) and then for (nd + q), and (5.11) give Ja ash hye "aru? — = Gn o a nds yan? &, wo he(U) |r” Si mua Fan) f £ né¥0-theUe-tdr JU” —e = fila fi wye*ar up —e Feira l, Wear UO acne = PAOD Fg eyye sm ype ay eae Fa) yoo @4.yB(nd, q) 1 dav) da - 14) e-doin ap : Bataan Jah aA) MP gqaena iil ne = eupBint.a) f»( 54) fates = oxypt04.0)(3) Bm, (6.26) where in (5.24) we used again (5.14), in (5.25) the change of variable A = V/2 (with dV = (1/2)@*"””2da), and for (5.26) the fact that fy is the density (5.18) of the random matrix W with Wishart distribution Wa(2n. ©). ‘Then (a), (b) and the first equality in (5.22) are proved. The second equality in (5.22) follows using the fact that EWP] = ||P 24140) + p)/Fy(a) (See Muirhead (24. p. 101]). In particular, the mean E(M) and covariance matrix Cov(M) = E(M ® M) — E(M) @ E(M) of M ~ AFy(n, 5) are expressed in terms of the mean (VW) and the second tensor moment E(W) ® E(W) of the Wishart distribution W(2y, 2) Recall that the commutation d2 x d? matrix K is defined as, where Hy denotes the d x d matrix with fiy = 1 and all other elements zero, The m-th moments and cumulants of ad x d random matrix are d2”-dimensional objects which need to be represented in a concise and at the same time easy to handlem V.Pérez-abre,R Seer [Journal of Mulvariote Analysis 130(2014) 155-175 way. As usual for random matrices we define the moments and cumulants using the tensor product, eg, the m-th moment of a random mattix X is understood to be EX"). An alternative would be to use the vec-operator to transfer the matrix into an element of R® first, but typically this leads to formulae that are more cumbersome to handle. Now we have: Corollary 5.10. The cumulants of the random matrix M ~ AFy(, £) are proportional to the tensor moments of the Wishart distribution. In particular BM) = (27) ‘and the matrix of covariances between elements of M is given by a 1 On Ta ED ((1+z)w+k) zon. (5.28) Proof. The first assertion follows from (b) in Proposition 5.9. Since the first moment of M equals its first cumulant and its ‘matrix of covariances equals its second cumulant, then (5.27) follows from (a) in Proposition 5.9 with p = 1 and since E(W) = 2nF for W ~ W,Qn. ©). From [24, p.90] we have CoviM) Cov(W) = 2n(lye + KE @ E) we have 02, way 1 22 Cov(M) ifn 200d = SE gew) Hy 1 ein ye21 = ra om) + Be} Hence (5.28) follows. In particular, when «,, = dy, E(M) = 9, as in the Wishart case. On the other hand, when 4, = d, E(M This result is of particular importance in applications, since it implies that the second order moment structure is explicitly known which may allow method of moments based estimation of models using A/y(7, ©) matrix subordinators as the stochastic input (eg. {29]). The following result states an interesting relation with the so-called Marchenko-Pastur Recall that the moments of this distribution are given by (see [2]) ay SL (P) (P=) gy =D (4) ( j Jo (5.29) ribution of parameter A > 0. Lemma 5.11. Let ¢ © R. Forany integer p > 0,asd > coand d/y > %>0 if «(Z By XDAX ~ Ky )erggd POO (5.30) a Ieo he where ky(2) = P(p)44p(22). In particular, for & i ‘xy? a, ifp and fe(S)' Jeune Et. oa) Proof. If W ~ Wa(2n, ly), then 1 wy dim 80 ($) Hy(22), 632) as 2n/d — 22. due to the well known Marchenko-Pastur Theorem [2], for any p > 0. By the Stirling approximation (z+ 1) ~ V/2x2(z/e)* for z + 00. for n and d large Pend) AO ~ (ney. 5.33 Foden enV. Prez-Abreu,R Stele Journal of Multivariate Analysis 130 (2014) 155-175 v3 Using n/d + 4 and (5.32) in (5.20) gives: 1 ; \ ond, pystn(wP if ow(& <) Egg XDA = ZB, yee?) ey POD) Lye wy 1m) x nay Pa? | ete Ppa glnd) Pad lie"(3)] ~ F(pyeoand [je (3) ] (5.34) ~ KyDoaad 9), for n, d large, (5.35) Which proves the lemma. a Conjecture 5.12. We conjecture that the above Lemma is a first step to study the asymptotic spectral distribution of the random. ‘matrix M ~ AT y(n, 2). More specifically, the right hand side of (5.31) must be related to the ptin-curnulant of the pth-moment of the mean spectral distribution of M, which in turn should allow the identification of the limiting spectral distribution, 5.3 Further examples 5.31. BP-distributions letd > Land ¢ + sdibe fixed. Consider the Lévy measure on 5, given by e-Polk aa vel) = Fe Heal, XH \101 (5.36) where fo > O and Gaa(E) -[. [ Te(rU dra g( AU). (5.37) Here aig q/d is the probability measure on the sphere $},, induced by the transformation V > U = W". where the d x q matrix V is uniformly distributed on the unit sphere of the linear space Mj.g(B) of d x q matrices with real entries, with the Frobenius norm ||¥ 3 = tr(v"Y). ‘An infinitely divisible d x d symmetric random matrix M with Lévy measure vy has the Gamma distribution I's: (aq, Bo). since has polar decomposition [ff wo ongan, 8608 We calli distiution the 8/4, A) distribution WE Remark 5.13. (a) We observe that the support of v, is concentrated in matrices of rank q in 5, . Hence this support is of full dimension. Then, by Corollary 5.2, (c., Po) has Support in the open cone Sj (b) The case q = 1 was considered in Bérez-Abreu and Sakuma [27] in the context of random matrix models for free generalised Gamma convolutions. They considered the Hermitian case for which working in the setup of Maxq(C) is needed, but otherwise the above steps can be carried out in a straightforward way. (©) For © € Sj one can consider invertible linear transformations of I’; (aa. a) to obtain infinitely di definite matrix Gamma distributions Fy: (cry,5, Bx) with Lévy measures of the form ible positive ell jeox] similar to the family 1” of matrix Gamma distributions considered in the last section. The following properties are easily proved. vyldX) Gag BVA E17) Proposition 5.14. Let M ~ Fy (aq. Ao) and q = 1... be ved. Then, (a) M fas gn invariane distribution under orthogonal conjugation (b) E [M|F < cx for any k > 0. (c) tr(M) has a one-dimensional Gamma distribution (A, Bo).v4 V,Pez-Abreu,R Stele Journal of Multivariate Analysis 130 (2014) 155-175 5.32. Matrix Gamma-normal distribution In the one-dimensional case, the so called variance Gamma distribution is popular in applications in finance, see [22] This distribution is a mixture of Gaussians having a random variance following the one-dimensional Gamma distribution. ‘As an application of the matrix Gamma distribution, we now present a matrix extension of the one-dimensional variance Gamma distribution. Let Z be ad x q random matrix with independent standard Gaussian distributed entries, ie. on( Let X be a random matrix with the Gamma distribution; (a, 8) and independent of Z. Consider the random linear transformation ¥ = X'/2Z. Using a standard conditional argument we compute the characteristic function of the d x q matrix as follows: Bexpcitt(@"¥)) = ByEz [exptitr(@"X"?2))|X] w= [oo( nooo] = nfow(-neo"e)] 1tr(Ue@") =oo|- Lo in(r4 ore ) a} (5:38) for each © © Mg,q(R). Using the fants im [6], we can say that ¥ has a MatG distribution, which is infinitely divisible in Mex q(). Similar to the one-dimensional case, we call this distribution the matrix Gamma-normal distribution with parameters @ and f or more specifically the d x q-dimensional matrix F(a. )-normal distribution. We observe that ¥ has a Eexpcitr(@'Z) 3io" 2) YO € My.a(B). Then, using (4.11) Eexpiitr(@'Y)) symmetric distribution in the sense that ~¥ 2’ and also that ¥ has a distribution invariant under orthogonal conjugations if 6(U) = Bo and (aU) is invariant under orthogonal conjugations. Remark 5.15. If (U) = fy ~ Oand g — d,te(¥) has a one-dimensional variance Gamma distribution with the following characteristic function: for @ € R, 8 = Oly, oxo[- f, n(14 se) anh 1 \-ip 1b) (+3 (ee) Got) Thus, t(Y) has the same distribution as V ~ V', where V has one-dimensional Gamma distribution /"(a(S}.,). /2Bo) and V'isan independent copy of V. Eexpciatr(¥)) Remark 5.16. Let q = 1, i.e, the resulting matrix Gamma-normal distribution is R¢-valued, Thus for © € RY, 80" has rank one. Assume additionally that the measure a is concentrated on the rank one matrices, thatis U = wu with u € Ré (and the first non-zero component of u being positive, to make u unique given U), Let @ be the measure on the unit sphere Se.) Of ¢ induced by a under this transformation. Using this we write the integral on the right hand side of (5:38) as follows 11(Ue0") 167 vy a i ; (du) = away f, n( 5 BU) )e Saal Lo» (- 2 pu ) bed Sati ( en) ot). +f nfo ao 69 Seay ( aan)V. Prez-Abreu,R Stele Journal of Multivariate Analysis 130 (2014) 155-175 5 Interestingly, (5.39) implies that the matrix Gamma-normal random variable can be represented (in this special case) as ~ X; with X},X ~ Fl@. A) being independent where f = 26a). Hence, the matrix Gamma-normal distribution with q 1, which can indeed be regarded as a d-dimensional generalisation of the univariate variance Gamma distribution, inherits interesting properties well-known in the univariate. case. 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