A Matsumoto-Yor property for Kummer and Wishart random matrices

DOI10.1016/j.spl.2012.06.024zbMath1253.60006OpenAlexW2007631980MaRDI QIDQ712515

Angelo Efoevi Koudou

Publication date: 17 October 2012

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2012.06.024

zbMATH Keywords

Wishart distributionmatrix beta distributionmatrix Kummer distributionmatsumotoYor property

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Random matrices (algebraic aspects) (15B52)

Related Items (9)

The Matsumoto-Yor property and its converse on symmetric cones ⋮ 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 ⋮ Change of measure technique in characterizations of the gamma and Kummer distributions ⋮ Yang-Baxter maps and independence preserving property ⋮ On the Matsumoto-Yor type regression characterization of the gamma and Kummer distributions ⋮ Bimatrix variate Kummer-gamma distribution ⋮ A Matsumoto-Yor characterization for Kummer and Wishart random matrices ⋮ The Matsumoto-Yor property on trees for matrix variates of different dimensions

Cites Work

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• Independence properties of the Matsumoto-Yor type
• Which distributions have the Matsumoto-Yor property?
• Confluent hypergeometric function of second kind with matrix argument
• An independence property for the product of GIG and gamma laws
• 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
• Matrix-variate Kummer-Beta distribution
• Matrix variate Kummer-Dirichlet distributions

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