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

JOURNAL OF MULTIVARIATE ANALYSIS

卷:141

Article

Bobecka, Konstancja

关键词: Wishart distribution;    MGIG distribution;    Independence;    Matsumoto-Yor property;    Characterization;    Tree;    Quasi-Wishart;   

DOI  :  10.1016/j.jmva.2015.05.018

来源: Elsevier

【 摘 要 】

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. (C) 2015 Elsevier Inc. All rights reserved.

【 授权许可】

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