An independence property for the product of GIG and gamma laws

DOI10.1214/aop/1019160339zbMath1010.62010OpenAlexW2019240847MaRDI QIDQ1872530

Gérard Letac, Jacek Wesołowski

Publication date: 6 May 2003

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1019160339

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Probability distributions: general theory (60E05) Characterization and structure theory of statistical distributions (62E10)

Related Items (30)

The Matsumoto-Yor property and its converse on symmetric cones ⋮ On the Matrix-Variate Beta Distribution ⋮ Martingales Defined by Reciprocals of Sums and Related Characterizations ⋮ On Kummer's distribution of type two and a generalized beta distribution ⋮ Kummer and gamma laws through independences on trees -- another parallel with the Matsumoto-Yor property ⋮ On the Matsumoto-Yor property in free probability ⋮ Hitting times of Brownian motion and the Matsumoto-Yor property on trees ⋮ Multivariate Matsumoto-Yor property is rather restrictive ⋮ Change of measure technique in characterizations of the gamma and Kummer distributions ⋮ Independence properties of the Matsumoto-Yor type ⋮ Unnamed Item ⋮ Yang-Baxter maps and independence preserving property ⋮ On the Matsumoto-Yor type regression characterization of the gamma and Kummer distributions ⋮ Characterization of the Three-Variate Inverted Dirichlet Distributions ⋮ Interpretation via Brownian motion of some independence properties between GIG and gamma variables. ⋮ An Analogue of Pitman’s 2M — X Theorem for Exponential Wiener Functionals Part II: The Role of the Generalized Inverse Gaussian Laws ⋮ A Matsumoto-Yor characterization for Kummer and Wishart random matrices ⋮ The Matsumoto-Yor property on trees ⋮ On free generalized inverse Gaussian distributions ⋮ On characterizations of the gamma and generalized inverse Gaussian distributions ⋮ A link between the Matsumoto-Yor property and an independence property on trees ⋮ A Matsumoto-Yor property for Kummer and Wishart random matrices ⋮ Characterizations of GIG laws: a survey ⋮ Kshirsagar-Tan independence property of beta matrices and related characterizations ⋮ Tree structured independence for exponential Brownian functionals ⋮ Multivariate reciprocal inverse Gaussian distributions from the Sabot-Tarrès-Zeng integral ⋮ More on connections between Wishart and matrix GIG distributions ⋮ The Matsumoto-Yor property on trees for matrix variates of different dimensions ⋮ The Matsumoto\,-\,Yor property and the structure of the Wishart distribution ⋮ Regression conditions that characterize free-Poisson and free-Kummer distributions

Cites Work

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• Bessel functions of matrix argument
• An exact decomposition theorem and a unified view of some related distributions for a class of exponential transformation models on symmetric cones
• Quadratic and inverse regressions for Wishart distributions.
• The Lukacs-Olkin-Rubin characterization of Wishart distributions on symmetric cones
• Random continued fractions and inverse Gaussian distribution on a symmetric cone
• An Analogue of Pitman’s 2M — X Theorem for Exponential Wiener Functionals Part II: The Role of the Generalized Inverse Gaussian Laws
• Generalized Inverse Gaussian Distributions and their Wishart Connections
• A Characterization of the Wishart Distribution
• A characterization of the generalized inverse Gaussian distribution by continued fractions
• A Characterization of the Gamma Distribution

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