The Matsumoto\,-\,Yor property and the structure of the Wishart distribution

DOI10.1016/J.JMVA.2004.11.008MaRDI QIDQ2581513zbMATH OpenOpenAlexFDO

Authors Hélène Massam, Jacek Wesołowski

Publication date 10 January 2006

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2004.11.008

zbMATH Keywords

Characterization of Wishart distributionsGIG distributionGraphical Gaussian modelsMatsumoto-Yor property

Mathematics Subject Classification ID

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

Recommendations

• The Matsumoto-Yor property on trees for matrix variates of different dimensions
• More on connections between Wishart and matrix GIG distributions
• A Matsumoto-Yor characterization for Kummer and Wishart random matrices
• Multivariate Matsumoto-Yor property is rather restrictive
• The Matsumoto–Yor independence property for GIG and Gamma laws, revisited

Cites work

• A characterization of the bivariate Wishart distribution
• An analogue of Pitman's \(2M-X\) theorem for exponential Winer functionals. II: The role of the generalized inverse Gaussian laws
• An independence property for the product of GIG and gamma laws
• Bessel functions of matrix argument
• Characterization of the Jørgensen set in generalized linear models
• Exponential transformation models
• Generalized Inverse Gaussian Distributions and their Wishart Connections
• scientific article; zbMATH DE number 3886886 (Why is no real title available?)
• scientific article; zbMATH DE number 3942782 (Why is no real title available?)
• scientific article; zbMATH DE number 1894277 (Why is no real title available?)
• Interpretation via Brownian motion of some independence properties between GIG and gamma variables.
• Invariant generalized functions in homogeneous domains
• On transformations and determinants of Wishart variables on symmetric cones
• Parameter priors for directed acyclic graphical models and the characterization of several probability distributions
• The Matsumoto-Yor property on trees
• The Matsumoto–Yor independence property for GIG and Gamma laws, revisited

Cited in

(31)

• Kshirsagar-Tan independence property of beta matrices and related characterizations
• The Matsumoto-Yor property on trees
• An independence property for the product of GIG and gamma laws
• Multivariate reciprocal inverse Gaussian distributions from the Sabot-Tarrès-Zeng integral
• The Matsumoto-Yor property and its converse on symmetric cones
• A link between the Matsumoto-Yor property and an independence property on trees
• Characterizations of GIG laws: a survey
• Association and infinite divisibility for the Wishart distribution and its diagonal marginals
• Hitting times of Brownian motion and the Matsumoto-Yor property on trees
• Distribution of the product of a singular Wishart matrix and a normal vector
• Extension of the Olkin and Rubin characterization to the Wishart distribution on homogeneous cones
• On the matrix-variate 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
• On the exact and approximate distributions of the product of a Wishart matrix with a normal vector
• The inverse Riesz probability distribution on symmetric matrices
• On the marginal distribution of the diagonal blocks in a blocked Wishart random matrix
• Independence characterization for Wishart and Kummer random matrices
• A Bayesian approach for partial Gaussian graphical models with sparsity
• About an extension of the Matsumoto-Yor property
• A Matsumoto-Yor characterization for Kummer and Wishart random matrices
• Matrix variate gamma distributions with unrestricted shape parameter
• Gibbs Sampler for Matrix Generalized Inverse Gaussian Distributions
• A Matsumoto-Yor property for Kummer and Wishart random matrices
• Tree structured independence for exponential Brownian functionals
• More on connections between Wishart and matrix GIG distributions
• The Matsumoto-Yor property on trees for matrix variates of different dimensions
• Multivariate Matsumoto-Yor property is rather restrictive
• Moment for the inverse Riesz distributions
• On the Matsumoto-Yor type regression characterization of the gamma and Kummer distributions
• Properties of the singular, inverse and generalized inverse partitioned Wishart distributions

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