A Matsumoto-Yor characterization for Kummer and Wishart random matrices

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

卷:460

Article

Kolodziejek, Bartosz¹ 

[1] Warsaw Univ Technol, Fac Math & Informat Sci, Koszykowa 75, PL-00662 Warsaw, Poland

关键词: Matsumoto-Yor property;    Wishart distribution;    Matrix Kummer distribution;    Matrix beta distribution;    Functional equations;   

DOI  :  10.1016/j.jmaa.2017.12.041

来源: Elsevier

【 摘 要 】

In the paper we resolve positively the conjecture on a characterization of matrix Kummer and Wishart laws through independence property, which was posed in Koudou (2012) [12]. Apart from the probabilistic result, we determine the general solution of the functional equation associated to the characterization problem under weak assumptions. (C) 2017 Elsevier Inc. All rights reserved.

【 授权许可】

Free