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 and be independent, non-degenerate random variables valued in , then and are independent if and only if follows the Kummer distribution and 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.
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}
}