相关论文: Independence properties of the Matsumoto--Yor type

If $\alpha,\beta>0$ are distinct and if $A$ and $B$ are independent non-degenerate positive random variables such that $$S=\tfrac{1}{B}\,\tfrac{\beta A+B}{\alpha A+B}\quad \mbox{and}\quad T=\tfrac{1}{A}\,\tfrac{\beta A+B}{\alpha A+B} $$ are…

In this paper we study a Matsumoto-Yor type property for the gamma and Kummer inde- pendent variables discovered in Koudou and Vallois (2012). We prove that constancy of regressions of U = (1 + 1/(X + Y ))=(1 + 1/X) given V = X + Y and of…

The Matsumoto--Yor (MY) property of the generalized inverse Gaussian and gamma distributions has many generalizations. As it was observed in (Letac and Weso{\l}owski in Ann Probab 28:1371--1383, 2000) the natural framework for the…

The paper develops a rather unexpected parallel to the multivariate Matsumoto--Yor (MY) property on trees considered in \cite{MW04}. The parallel concerns a multivariate version of the Kummer distribution, which is generated by a tree.…

Let $X$ and $Y$ be independent variance-gamma random variables with zero location parameter; then the exact probability density function of the product $XY$ is derived. Some basic distributional properties are also derived, including…

We prove that if $X,Y$ are positive, independent, non-Dirac random variables and if for $\alpha,\beta\ge 0$, $\alpha\neq \beta$, $$ \psi_{\alpha,\beta}(x,y)=\left(y\,\tfrac{1+\beta(x+y)}{1+\alpha x+\beta…

We study the Matsumoto-Yor property in free probability. We prove three characterizations of free-GIG and free Poisson distributions by freeness properties together with some assumptions about conditional moments. Our main tools are…

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…

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, Statist. Probab. Lett. 82 (2012), 1903--1907] . Apart from the…

If $X$ and $Y$ are independent random variables with distributions $\mu$ and $\nu$ then $U=\psi(X,Y)$ and $V=\phi(X,Y)$ are also independent for some $\psi$ and $\phi$. Properties of this type are known for many important probability…

We generalize the following univariate characterization of the Kummer and Gamma distributions to the cone of symmetric positive definite matrices: let $X$ and $Y$ be independent, non-degenerate random variables valued in $(0, \infty)$, then…

In this paper, we present three remarkable properties of the normal distribution: first that if two independent variables's sum is normally distributed, then each random variable follows a normal distribution (which is referred to as the…

We generalize Franz' independence in tensor categories with inclusions from two morphisms (which represent generalized random variables) to arbitrary ordered families of morphisms. We will see that this only works consistently if the unit…

Sasada and Uozumi, \cite{SasUoz2024}, identified independence preserving $[2:2]$ quadrirational parametric Yang-Baxter maps, see \eqref{YBEQ}, on $(0,\infty)$. In particular, the map denoted there by $H_{III,B}^{(\alpha,\beta)}$, see…

Let $\tau(x)$ be the first time the reflected process $Y$ of a Levy processes $X$ crosses x>0. The main aim of the paper is to investigate the asymptotic dependence of the path functionals: $Y(t) = X(t) - \inf_{0\leq s\leq t}X(s)$,…

Conditional independence and Markov properties are powerful tools allowing expression of multidimensional probability distributions by means of low-dimensional ones. As multidimensional possibilistic models have been studied for several…

Let either $X=\mathbf{R}\times\mathbf{T}$ or $X=\Sigma_\text{\boldmath $a$}\times\mathbf{T}$, where $\mathbf{R}$ is the additive group of real number, $\mathbf{T}$ is the cycle group and $\Sigma_\text{\boldmath $a$}$ is an $\text{\boldmath…

The confluent hypergeometric functions (the Kummer functions) defined by ${}_{1}F_{1}(\alpha;\gamma;z):=\sum_{n=0}^{\infty}\frac{(\alpha)_{n}}{n!(\gamma)_{n}}z^{n}\ (\gamma\neq 0,-1,-2,\cdots)$, which are of many properties and great…

Let $\Omega_p$ be the group of $p$-adic numbers, $ \xi_1$, $\xi_2$, $\xi_3$ be independent random variables with values in $\Omega_p$ and distributions $\mu_1$, $\mu_2$, $\mu_3$. Let $\alpha_j, \beta_j, \gamma_j$ be topological…

We introduce a new family of Schur functions $s_{\lambda/\mu;a,b}(x/y)$ that depend on two sets of variables and two sequences of parameters. These free fermionic Schur functions have a hidden symmetry between the two sets of parameters…