On the Lukacs property for free random variables

DOI10.4064/SM228-1-6MaRDI QIDQ3448478zbMATH OpenOpenAlexFDO

Authors Kamil Szpojankowski

Publication date 23 October 2015

Published in Studia Mathematica (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1403.5300

zbMATH Keywords

free cumulantsLukacs characterizationfree Poisson distributionfree gamma distribution

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characterization and structure theory of statistical distributions (62E10) Free probability and free operator algebras (46L54)

Abstract: The Lukacs property of the free Poisson distribution is studied here. We prove that if free $X$ and $Y$ are free Poisson distributed with suitable parameters, then $X+Y$ and $left(X+Yight{)}^{-frac12}Xleft(X+Yight{)}^{-frac12}$ are free. As as an auxiliary result we give joint cumulants of $X$ and $X^{-1}$ for free Poisson distributed $X$. We also study the Lukacs property of the free gamma distribution.

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Cited in

(15)

• Conditional expectations through Boolean cumulants and subordination -- towards a better understanding of the Lukacs property in free probability
• Characterization of non-commutative free Gaussian variables
• Laha-Lukacs properties of some free processes
• On free generalized inverse Gaussian distributions
• Regression conditions that characterize free-Poisson and free-Kummer distributions
• A Matsumoto-Yor characterization for Kummer and Wishart random matrices
• Dual Lukacs regressions of negative orders for noncommutative variables
• scientific article; zbMATH DE number 5117421 (Why is no real title available?)
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