The Matsumoto–Yor property on trees for matrix variates of different dimensions
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DOI: 10.1016/j.jmva.2015.05.018
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References listed on IDEAS
- Koudou, Angelo Efoévi, 2006. "A link between the Matsumoto-Yor property and an independence property on trees," Statistics & Probability Letters, Elsevier, vol. 76(11), pages 1097-1101, June.
- Ronald W. Butler, 1998. "Generalized Inverse Gaussian Distributions and their Wishart Connections," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 25(1), pages 69-75, March.
- Koudou, Angelo Efoevi, 2012. "A Matsumoto–Yor property for Kummer and Wishart random matrices," Statistics & Probability Letters, Elsevier, vol. 82(11), pages 1903-1907.
- V. Seshadri & J. Wesołowski, 2008. "More on connections between Wishart and matrix GIG distributions," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 68(2), pages 219-232, September.
- Massam, Hélène & Wesolowski, Jacek, 2006. "The Matsumoto-Yor property and the structure of the Wishart distribution," Journal of Multivariate Analysis, Elsevier, vol. 97(1), pages 103-123, January.
- Matsumoto, Hiroyuki & Yor, Marc, 2003. "Interpretation via Brownian motion of some independence properties between GIG and gamma variables," Statistics & Probability Letters, Elsevier, vol. 61(3), pages 253-259, February.
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Cited by:
- Piliszek, Agnieszka & Wesołowski, Jacek, 2016. "Kummer and gamma laws through independences on trees—Another parallel with the Matsumoto–Yor property," Journal of Multivariate Analysis, Elsevier, vol. 152(C), pages 15-27.
- Letac, Gérard & Wesołowski, Jacek, 2020. "Multivariate reciprocal inverse Gaussian distributions from the Sabot–Tarrès–Zeng integral," Journal of Multivariate Analysis, Elsevier, vol. 175(C).
- Wesołowski, Jacek, 2015. "On the Matsumoto–Yor type regression characterization of the gamma and Kummer distributions," Statistics & Probability Letters, Elsevier, vol. 107(C), pages 145-149.
- Bartosz Kołodziejek, 2017. "The Matsumoto–Yor Property and Its Converse on Symmetric Cones," Journal of Theoretical Probability, Springer, vol. 30(2), pages 624-638, June.
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Keywords
Wishart distribution; MGIG distribution; Independence; Matsumoto–Yor property; Characterization; Tree; Quasi-Wishart;All these keywords.
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