Projective Wishart Distributions

Abstract

We are interested in the distribution of Wishart samples after forgetting their scaling factors. We call such a distribution a projective Wishart distribution. We show that projective Wishart distributions have strong links with the affine-invariant geometry of symmetric positive definite matrices in the real case or Hermitian positive definite matrices in the complex case. First, the Fr{\'e}chet mean of a projective Wishart distribution is the covariance parameter, up to a scaling factor, of the corresponding Wishart distribution. Second, in the case of 2 by 2 matrices, the densities have simple expressions in term of the affine-invariant distance.