Multivariate Matsumoto-Yor property is rather restrictive

DOI10.1016/j.jspi.2006.02.012zbMath1107.62040OpenAlexW2079002032MaRDI QIDQ872096

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

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 (1)

Hitting times of Brownian motion and the Matsumoto-Yor property on trees

Cites Work

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• The Matsumoto-Yor property on trees
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• Quadratic and inverse regressions for Wishart distributions.
• The Lukacs-Olkin-Rubin characterization of Wishart distributions on symmetric cones
• An independence property for the product of GIG and gamma laws
• Multivariate Lukacs theorem
• 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
• A Characterization of the Wishart Distribution
• The Lukacs–Olkin–Rubin theorem without invariance of the ``quotient
• The Matsumoto–Yor independence property for GIG and Gamma laws, revisited
• A Characterization of the Gamma Distribution

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