Star-shaped distributions and their generalizations

Abstract

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.