Interpretation via Brownian motion of some independence properties between GIG and gamma variables.

DOI10.1016/S0167-7152(02)00356-5zbMath1039.60074OpenAlexW2068185261MaRDI QIDQ1424466

Hiroyuki Matsumoto, Marc Yor

Publication date: 14 March 2004

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(02)00356-5

zbMATH Keywords

Brownian motions with driftsExponential Brownian functionalsGeneralized inverse Gaussian distributions

Mathematics Subject Classification ID

Brownian motion (60J65)

Related Items (13)

The Matsumoto-Yor property and its converse on symmetric cones ⋮ Kummer and gamma laws through independences on trees -- another parallel with the Matsumoto-Yor property ⋮ Hitting times of Brownian motion and the Matsumoto-Yor property on trees ⋮ Multivariate Matsumoto-Yor property is rather restrictive ⋮ Independence properties of the Matsumoto-Yor type ⋮ On the Matsumoto-Yor type regression characterization of the gamma and Kummer distributions ⋮ The Matsumoto-Yor property on trees ⋮ On characterizations of the gamma and generalized inverse Gaussian distributions ⋮ Characterizations of GIG laws: a survey ⋮ Tree structured independence for exponential Brownian functionals ⋮ The Matsumoto-Yor property on trees for matrix variates of different dimensions ⋮ On an extension of Dufresne's relation between exponential Brownian functionals from opposite drifts to two different drifts: A short proof ⋮ The Matsumoto\,-\,Yor property and the structure of the Wishart distribution

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