The Matsumoto-Yor property on trees for matrix variates of different dimensions
From MaRDI portal
Publication:746865
DOI10.1016/j.jmva.2015.05.018zbMath1331.62080OpenAlexW2194303268MaRDI QIDQ746865
Publication date: 21 October 2015
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2015.05.018
treeindependencecharacterizationWishart distributionMatsumoto-Yor propertyMGIG distributionquasi-Wishart
Characterization and structure theory for multivariate probability distributions; copulas (62H05) Probability distributions: general theory (60E05) Characterization and structure theory of statistical distributions (62E10)
Related Items (5)
The Matsumoto-Yor property and its converse on symmetric cones ⋮ Kummer and gamma laws through independences on trees -- another parallel with the Matsumoto-Yor property ⋮ 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 ⋮ Multivariate reciprocal inverse Gaussian distributions from the Sabot-Tarrès-Zeng integral
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Independence properties of the Matsumoto-Yor type
- Which distributions have the Matsumoto-Yor property?
- A Matsumoto-Yor property for Kummer and Wishart random matrices
- More on connections between Wishart and matrix GIG distributions
- Bessel functions of matrix argument
- Interpretation via Brownian motion of some independence properties between GIG and gamma variables.
- The Matsumoto-Yor property on trees
- The Lukacs-Olkin-Rubin characterization of Wishart distributions on symmetric cones
- An independence property for the product of GIG and gamma laws
- A link between the Matsumoto-Yor property and an independence property on trees
- Characterizations of GIG laws: a survey
- The Matsumoto\,-\,Yor property and the structure of the Wishart distribution
- An Analogue of Pitman’s 2M — X Theorem for Exponential Wiener Functionals Part II: The Role of the Generalized Inverse Gaussian Laws
- Generalized Inverse Gaussian Distributions and their Wishart Connections
- Exponential transformation models
- Trees with random conductivities and the (reciprocal) inverse Gaussian distribution
- The Matsumoto–Yor independence property for GIG and Gamma laws, revisited
This page was built for publication: The Matsumoto-Yor property on trees for matrix variates of different dimensions