Ergodic Decomposition for Inverse Wishart Measures on Infinite Positive-Definite Matrices

Abstract

The ergodic unitarily invariant measures on the space of infinite Hermitian matrices have been classified by Pickrell and Olshanski-Vershik. The much-studied complex inverse Wishart measures form a projective family, thus giving rise to a unitarily invariant measure on infinite positive-definite matrices. In this paper, we completely solve the corresponding problem of ergodic decomposition for this measure.