Multivariate Matsumoto-Yor property is rather restrictive

DOI10.1016/J.JSPI.2006.02.012MaRDI QIDQ872096zbMATH OpenOpenAlexFDO

Authors Konstancja Bobecka, Jacek Wesołowski

Publication date 27 March 2007

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2006.02.012

zbMATH Keywords

independencegamma distributionMatsumoto-Yor propertygeneralized inverse Gaussian distribution

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)

Recommendations

• The Matsumoto–Yor independence property for GIG and Gamma laws, revisited
• The Matsumoto\,-\,Yor property and the structure of the Wishart distribution
• The Matsumoto-Yor property on trees
• A link between the Matsumoto-Yor property and an independence property on trees
• The Matsumoto-Yor property on trees for matrix variates of different dimensions

Cites work

• scientific article; zbMATH DE number 3720062 (Why is no real title available?)
• scientific article; zbMATH DE number 2147414 (Why is no real title available?)
• A Characterization of the Gamma Distribution
• A Characterization of the Wishart Distribution
• An analogue of Pitman's \(2M-X\) theorem for exponential Winer functionals. II: The role of the generalized inverse Gaussian laws
• An independence property for the product of GIG and gamma laws
• Interpretation via Brownian motion of some independence properties between GIG and gamma variables.
• Multivariate Lukacs theorem
• On a functional equation related to the Matsumoto-Yor property
• On characterizations of the gamma and generalized inverse Gaussian distributions
• Quadratic and inverse regressions for Wishart distributions.
• The Lukacs-Olkin-Rubin characterization of Wishart distributions on symmetric cones
• The Lukacs–Olkin–Rubin theorem without invariance of the ``quotient
• The Matsumoto-Yor property on trees
• The Matsumoto\,-\,Yor property and the structure of the Wishart distribution
• The Matsumoto–Yor independence property for GIG and Gamma laws, revisited

Cited in

(10)

• The Matsumoto\,-\,Yor property and the structure of the Wishart distribution
• Hitting times of Brownian motion and the Matsumoto-Yor property on trees
• The Matsumoto–Yor independence property for GIG and Gamma laws, revisited
• About an extension of the Matsumoto-Yor property
• Which distributions have the Matsumoto-Yor property?
• On the Matsumoto-Yor property in free probability
• The Matsumoto-Yor property on trees for matrix variates of different dimensions
• An independence property for the product of GIG and gamma laws
• The Matsumoto-Yor property on trees
• The Matsumoto-Yor property and its converse on symmetric cones

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