Independence properties of the Matsumoto-Yor type

DOI10.3150/10-BEJ325MaRDI QIDQ408091zbMATH OpenOpenAlexFDO

Authors Angelo Efoevi Koudou, Pierre Vallois

Publication date 29 March 2012

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1203.0381

zbMATH Keywords

gamma distributionKummer distributionMatsumoto-Yor propertygeneralized inverse Gaussian distribution

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characterization and structure theory of statistical distributions (62E10)

Abstract: We define Letac-Wesolowski-Matsumoto-Yor (LWMY) functions as decreasing functions from $(0,infty)$ onto $(0,infty)$ with the following property: there exist independent, positive random variables $X$ and $Y$ such that the variables $f(X+Y)$ and $f(X)-f(X+Y)$ are independent. We prove that, under additional assumptions, there are essentially four such functions. The first one is $f(x)=1/x$. In this case, referred to in the literature as the Matsumoto-Yor property, the law of $X$ is generalized inverse Gaussian while $Y$ is gamma distributed. In the three other cases, the associated densities are provided. As a consequence, we obtain a new relation of convolution involving gamma distributions and Kummer distributions of type 2.

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Cited in

(19)

• Rate of convergence of generalized inverse Gaussian and Kummer distributions to the gamma distribution via Stein's method
• Yang-Baxter maps and independence preserving property
• Change of measure technique in characterizations of the gamma and Kummer distributions
• Regression conditions that characterize free-Poisson and free-Kummer distributions
• Stein's method in two limit theorems involving the generalized inverse Gaussian distribution
• Characterizations of GIG laws: a survey
• The Matsumoto–Yor independence property for GIG and Gamma laws, revisited
• A discrete-time Matsumoto-Yor theorem
• On Kummer's distribution of type two and a generalized beta distribution
• About an extension of the Matsumoto-Yor property
• Which distributions have the Matsumoto-Yor property?
• Kummer and gamma laws through independences on trees -- another parallel with the Matsumoto-Yor property
• A Matsumoto-Yor property for Kummer and Wishart random matrices
• On the Matsumoto-Yor type regression characterization of the gamma and Kummer distributions
• Independence preserving property of Kummer laws
• The Matsumoto-Yor property on trees for matrix variates of different dimensions
• About the Stein equation for the generalized inverse Gaussian and Kummer distributions
• A Matsumoto-Yor characterization for Kummer and Wishart random matrices
• The Matsumoto-Yor property and its converse on symmetric cones

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