English

Independence characterization for Wishart and Kummer random matrices

Probability 2018-05-16 v4

Abstract

We generalize the following univariate characterization of the Kummer and Gamma distributions to the cone of symmetric positive definite matrices: let XX and YY be independent, non-degenerate random variables valued in (0,)(0, \infty), then U=Y/(1+X)U= Y/(1+X) and V=X(1+U)V = X(1+U) are independent if and only if XX follows the Kummer distribution and YY follows the the Gamma distribution with appropriate parameters. We solve a related functional equation in the cone of symmetric positive definite matrices, which is our first main result and apply its solution to prove the characterization of Wishart and matrix-Kummer distributions, which is our second main result.

Keywords

Cite

@article{arxiv.1706.09718,
  title  = {Independence characterization for Wishart and Kummer random matrices},
  author = {Agnieszka Piliszek and Bartosz Kołodziejek},
  journal= {arXiv preprint arXiv:1706.09718},
  year   = {2018}
}
R2 v1 2026-06-22T20:33:19.059Z