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

Konstancja Bobecka

Journal of Multivariate Analysis, 2015, vol. 141, issue C, 22-34

Abstract: The paper is devoted to an extension of the multivariate Matsumoto–Yor (MY) independence property with respect to a tree with p vertices to the case where random variables corresponding to the vertices of the tree are replaced by random matrices. The converse of the p-variate MY property, which characterizes the product of one gamma and p−1 generalized inverse Gaussian distributions, is extended to characterize the product of the Wishart and p−1 matrix generalized inverse Gaussian distributions.

Keywords: Wishart distribution; MGIG distribution; Independence; Matsumoto–Yor property; Characterization; Tree; Quasi-Wishart (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:141:y:2015:i:c:p:22-34

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DOI: 10.1016/j.jmva.2015.05.018

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