Kummer and gamma laws through independences on trees -- another parallel with the Matsumoto-Yor property

DOI10.1016/J.JMVA.2016.07.004MaRDI QIDQ321906zbMATH OpenOpenAlexFDO

Authors Agnieszka Piliszek, Jacek Wesołowski

Publication date 14 October 2016

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

Full work available at URL https://arxiv.org/abs/1511.00116

zbMATH Keywords

gamma lawKummer distributionKummer lawmultivariate Matsumoto-Yor property

Mathematics Subject Classification ID

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

Abstract: The paper develops a rather unexpected parallel to the multivariate Matsumoto--Yor (MY) property on trees considered in cite{MW04}. The parallel concerns a multivariate version of the Kummer distribution, which is generated by a tree. Given a tree of size $p$, we direct it by choosing a vertex, say $r$, as a root. With such a directed tree we associate a map $Ph{i}_r$. For a random vector $$ having a $p$-variate tree-Kummer distribution and any root $r$, we prove that $$ has independent components. Moreover, we show that if $$ is a random vector in $(0,infty{)}^p$ and for any leaf $r$ of the tree the components of $$ are independent, then one of these components has a Gamma distribution and the remaining $p-1$ components have Kummer distributions. Our point of departure is a relatively simple independence property due to cite{HV15}. It states that if $X$ and $Y$ are independent random variables having Kummer and Gamma distributions (with suitably related parameters) and $T:(0,infty{)}^{2}o(0,infty{)}^2$ is the involution defined by $T(x,y)=(y/(1+x),x+xy/(1+x))$, then the random vector $T(X,Y)$ has also independent components with Kummer and gamma distributions. By a method inspired by a proof of a similar result for the MY property, we show that this independence property characterizes the gamma and Kummer laws.

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Cited in

(8)

• Independence preserving property of Kummer laws
• The Matsumoto-Yor property on trees
• A link between the Matsumoto-Yor property and an independence property on trees
• About an extension of the Matsumoto-Yor property
• Regression conditions that characterize free-Poisson and free-Kummer distributions
• A Matsumoto-Yor characterization for Kummer and Wishart random matrices
• Change of measure technique in characterizations of the gamma and Kummer distributions
• On the Matsumoto-Yor type regression characterization of the gamma and Kummer distributions

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