Multivariate Matsumoto-Yor property is rather restrictive

DOI10.1016/J.JSPI.2006.02.012zbMATH Open1107.62040OpenAlexW2079002032MaRDI QIDQ872096FDOQ872096

Jacek Wesołowski, Konstancja Bobecka

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

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

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)

Cites Work

• The Lukacs-Olkin-Rubin characterization of Wishart distributions on symmetric cones
• A Characterization of the Wishart Distribution
• The Lukacs–Olkin–Rubin theorem without invariance of the ``quotient
• A Characterization of the Gamma Distribution
• An independence property for the product of GIG and gamma laws
• An analogue of Pitman's \(2M-X\) theorem for exponential Winer functionals. II: The role of the generalized inverse Gaussian laws
• Interpretation via Brownian motion of some independence properties between GIG and gamma variables.
• On a functional equation related to the Matsumoto-Yor property
• 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
• Quadratic and inverse regressions for Wishart distributions.
• On characterizations of the gamma and generalized inverse Gaussian distributions
• Multivariate Lukacs theorem
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (5)

• 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
• An independence property for the product of GIG and gamma laws
• The Matsumoto-Yor property on trees

This page was built for publication: Multivariate Matsumoto-Yor property is rather restrictive

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q872096)