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On Wishart distribution. (English) Zbl 0788.62044

An infinite-dimensional generalization of the Wishart distribution, known in multivariate statistical analysis, is introduced and some of its properties are investigated. Moreover, a simple proof of a known result on the distribution of a quadratic form of a Gaussian vector is given.

MSC:

62H05 Characterization and structure theory for multivariate probability distributions; copulas
46L60 Applications of selfadjoint operator algebras to physics
60B11 Probability theory on linear topological spaces
46N30 Applications of functional analysis in probability theory and statistics
60E05 Probability distributions: general theory
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