Independence properties of the Matsumoto-Yor type (Q408091)

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Independence properties of the Matsumoto-Yor type
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    Independence properties of the Matsumoto-Yor type (English)
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    29 March 2012
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    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.
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    gamma distribution
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    generalized inverse Gaussian distribution
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    Kummer distribution
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    Matsumoto-Yor property
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