Multihomogeneous Measures and Stochastic Polar Representations

Source abstract

Let $q\in\mathbb N$, let $G=(0,\infty)^q$, and let $S:G\times E\longrightarrow E, (r,x)\longmapsto S_rx$ be a jointly measurable left action on an arbitrary measurable space $(E,\mathcal E)$. For $α=(α_1,\ldots,α_q)\in(0,\infty)^q$ set $χ_α(r)=\prod_{i=1}^q r_i^{α_i}.$ We study nonzero $σ$-finite measures $ν$ satisfying $ν(S_rA)=χ_α(r)^{-1}ν(A), r\in G, A\in\mathcal E.$ Motivated by the scalar case $q=1$ studied in [1] we derive equivalent conditions for the existence of an $E$-valued random element $Z$ such that $ν(A) = \mathbb{E}\{\int_G\mathbb I_A(S_rZ)\prod_{i=1}^q α_i r_i^{-α_i-1}dr_i\}, A\in\mathcal E.$ We also characterise when two random elements generate the same homogeneous measure, using multihomogeneous moments and, after fixing an admissible product gauge, weighted transverse measures. When the corresponding weighted transverse measure is finite, tilting and gauge normalisation produce a canonical representer, unique in law on the prescribed gauge shell. Finally, we characterise stationarity under an action commuting with $S$ and construct positive semidefinite tail-overlap kernels directly from $ν$.