Independence properties of the Matsumoto-Yor type

DOI10.3150/10-BEJ325zbMATH Open1250.62010arXiv1203.0381OpenAlexW3098358436MaRDI QIDQ408091FDOQ408091

Pierre Vallois, Angelo Efoevi Koudou

Publication date: 29 March 2012

Published in: Bernoulli (Search for Journal in Brave)

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.

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

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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)

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Cited In (17)

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

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