Kshirsagar-Tan independence property of beta matrices and related characterizations

DOI10.3150/07-BEJ118MaRDI QIDQ1002549zbMATH OpenFDO

Authors Konstancja Bobecka, Jacek Wesołowski

Publication date 2 March 2009

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0810.4427

zbMATH Keywords

beta matrixDirichlet distributionfunctional equationsindependenceperpetuitiesunivariate beta distribution

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Characterization and structure theory of statistical distributions (62E10) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Abstract: A new independence property of univariate beta distributions, related to the results of Kshirsagar and Tan for beta matrices, is presented. Conversely, a characterization of univariate beta laws through this independence property is proved. A related characterization of a family of $2imes2$ random matrices including beta matrices is also obtained. The main technical challenge was a problem involving the solution of a related functional equation.

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Cited in

(3)

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• Characterization of the Three-Variate Inverted Dirichlet Distributions
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