On the Matsumoto-Yor property in free probability
Operator Algebras
2016-10-04 v1 Probability
Abstract
We study the Matsumoto-Yor property in free probability. We prove that the limiting empirical eigenvalue distribution of the GIG matrices and the Marchenko-Pastur distribution have the free Matsumoto-Yor property. Finally we characterize these distributions by a regression properties in free probability.
Keywords
Cite
@article{arxiv.1511.01930,
title = {On the Matsumoto-Yor property in free probability},
author = {Kamil Szpojankowski},
journal= {arXiv preprint arXiv:1511.01930},
year = {2016}
}