Independence properties of the Matsumoto-Yor type (Q408091): Difference between revisions
From MaRDI portal
Created a new Item |
Changed an Item |
||
Property / review text | |||
The object of this paper are Letac-Wesolowski-Matsumoto-Yor (LWMY) functions. These are decreasing functions from \((0,\infty)\) onto \((0,\infty)\) with the following property: there exist independent positive random variables \(X\) and \(Y\) such that the variables \(f(X+Y)\) and \(f(X)-f(X+Y)\) are independent. The authors prove that under additional assumptions there are essentially four such functions. | |||
Property / review text: The object of this paper are Letac-Wesolowski-Matsumoto-Yor (LWMY) functions. These are decreasing functions from \((0,\infty)\) onto \((0,\infty)\) with the following property: there exist independent positive random variables \(X\) and \(Y\) such that the variables \(f(X+Y)\) and \(f(X)-f(X+Y)\) are independent. The authors prove that under additional assumptions there are essentially four such functions. / rank | |||
Normal rank | |||
Property / reviewed by | |||
Property / reviewed by: Nicko G. Gamkrelidze / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 62E10 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60E05 / rank | |||
Normal rank | |||
Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6019035 / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
gamma distribution | |||
Property / zbMATH Keywords: gamma distribution / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
generalized inverse Gaussian distribution | |||
Property / zbMATH Keywords: generalized inverse Gaussian distribution / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
Kummer distribution | |||
Property / zbMATH Keywords: Kummer distribution / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
Matsumoto-Yor property | |||
Property / zbMATH Keywords: Matsumoto-Yor property / rank | |||
Normal rank |
Revision as of 18:56, 29 June 2023
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Independence properties of the Matsumoto-Yor type |
scientific article |
Statements
Independence properties of the Matsumoto-Yor type (English)
0 references
29 March 2012
0 references
The object of this paper are Letac-Wesolowski-Matsumoto-Yor (LWMY) functions. These are decreasing functions from \((0,\infty)\) onto \((0,\infty)\) with the following property: there exist independent positive random variables \(X\) and \(Y\) such that the variables \(f(X+Y)\) and \(f(X)-f(X+Y)\) are independent. The authors prove that under additional assumptions there are essentially four such functions.
0 references
gamma distribution
0 references
generalized inverse Gaussian distribution
0 references
Kummer distribution
0 references
Matsumoto-Yor property
0 references