A Matsumoto–Yor property for Kummer and Wishart random matrices
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References listed on IDEAS
- 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.
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- Bobecka, Konstancja, 2015. "The Matsumoto–Yor property on trees for matrix variates of different dimensions," Journal of Multivariate Analysis, Elsevier, vol. 141(C), pages 22-34.
- 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.
- Hamza, Marwa & Vallois, Pierre, 2016. "On Kummer’s distribution of type two and a generalized beta distribution," Statistics & Probability Letters, Elsevier, vol. 118(C), pages 60-69.
- 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.
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KeywordsWishart distribution; Matsumoto–Yor property; Matrix Kummer distribution; Matrix beta distribution;
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