The Matsumoto-Yor property on trees for matrix variates of different dimensions

DOI10.1016/j.jmva.2015.05.018zbMath1331.62080OpenAlexW2194303268MaRDI QIDQ746865

Konstancja Bobecka

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

zbMATH Keywords

treeindependencecharacterizationWishart distributionMatsumoto-Yor propertyMGIG distributionquasi-Wishart

Mathematics Subject Classification ID

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