The Matsumoto-Yor property and its converse on symmetric cones

DOI10.1007/s10959-015-0648-2zbMath1378.62009arXiv1409.5256OpenAlexW3105006810WikidataQ57735321 ScholiaQ57735321MaRDI QIDQ2360644

Bartosz Kołodziejek

Publication date: 4 July 2017

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1409.5256

zbMATH Keywords

functional equationsymmetric conesMatsumoto-Yor propertyWishart distributionsHua's identitygeneralized inverse Gaussian distributions

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)

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Kummer and gamma laws through independences on trees -- another parallel with the Matsumoto-Yor property, On the Matsumoto-Yor property in free probability, Unnamed Item, Yang-Baxter maps and independence preserving property, On the Matsumoto-Yor type regression characterization of the gamma and Kummer distributions, A Matsumoto-Yor characterization for Kummer and Wishart random matrices

Cites Work

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